منابع مشابه
On $L_1$-weak ergodicity of nonhomogeneous continuous-time Markov processes
In the present paper we investigate the $L_1$-weak ergodicity of nonhomogeneous continuous-time Markov processes with general state spaces. We provide a necessary and sufficient condition for such processes to satisfy the $L_1$-weak ergodicity. Moreover, we apply the obtained results to establish $L_1$-weak ergodicity of quadratic stochastic processes.
متن کاملon $l_1$-weak ergodicity of nonhomogeneous continuous-time markov processes
in the present paper we investigate the $l_1$-weak ergodicity of nonhomogeneous continuous-time markov processes with general state spaces. we provide a necessary and sufficient condition for such processes to satisfy the $l_1$-weak ergodicity. moreover, we apply the obtained results to establish $l_1$-weak ergodicity of quadratic stochastic processes.
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A continuous-time Markov process (CTMP) is a collection of variables indexed by a continuous quantity, time. It obeys the Markov property that the distribution over a future variable is independent of past variables given the state at the present time. We introduce continuous-time Markov process representations and algorithms for filtering, smoothing, expected sufficient statistics calculations...
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We study continuous time Markov processes on graphs. The notion of frequency is introduced, which serves well as a scaling factor between any Markov time of a continuous time Markov process and that of its jump chain. As an application, we study “multi-person simple random walks” on a graph G with n vertices. There are n persons distributed randomly at the vertices of G. In each step of this di...
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∗Preliminary Comments are welcome. Paper written for the Handbook of Financial Econometrics edited by Yacine Aı̈t-Sahalia and Lars Peter Hansen. We thank Darrell Duffie, Benoit Perron and Mark Watson for discussions and Seoyeon Lee for research assistance. Bandi acknowledges financial support from the IBM Corporation Faculty Research Fund at the University of Chicago. Phillips thanks fhe NSF for...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1979
ISSN: 0304-4149
DOI: 10.1016/0304-4149(79)90026-7