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A process with chain dependent growth rate

Published online by Cambridge University Press:  14 July 2016

Julian Keilson and
S. Subba Rao
Julian Keilson
Affiliation:
University of Rochester, Rochester, New York
S. Subba Rao
Affiliation:
University of Rochester, Rochester, New York
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Extract

Additive processes on finite Markov chains have been investigated by Miller ([8], [9]), Keilson and Wishart ([2], [3], [4]) and by Fukushima and Hitsuda [1]. These papers study a two-dimensional Markov Process {X(t), R(t)} whose state space is R 1 × {1, 2, ···, R} characterized by the following properties:

  1. (i) R(t) is an irreducible Markov chain on states 1,2, …,R governed by atransition probability matrix Bo = {brs}.

  2. (ii) X(t) is a sum of random increments dependent on the chain, i.e., if the ith transition takes the chain from state r to state s, then the increment has the distribution

  3. (iii) Nt, is t in discrete time while in the continuous time case Nt, might be an independent Poisson process.

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 7 , Issue 3 , December 1970, pp. 699 - 711
Copyright
Copyright © Applied Probability Trust 1970 

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References

[1] Fukushima, M. and Hitsuda, M. (1967) On a class of Markov processes taking values on lines and the central limit theorem. Nagoya Math. J. 30, 47–56.CrossRefGoogle Scholar
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