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Occupation times for two state Markov chains

Published online by Cambridge University Press:  14 July 2016

P. J. Pedler
P. J. Pedler*
Affiliation:
Flinders University of South Australia
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Extract

Consider first a Markov chain with two ergodic states E1 and E2, and discrete time parameter set {0, 1, 2, ···, n}. Define the random variables Z0, Z1, Z2, ···, Znby then the conditional probabilities for k = 1,2,···, n, are independent of k. Thus the matrix of transition probabilities is

Type
Research Papers
Information
Journal of Applied Probability , Volume 8 , Issue 2 , June 1971 , pp. 381 - 390
Copyright
Copyright © Applied Probability Trust 1971 

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References

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