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Exact aggregation of absorbing Markov processes using the quasi-stationary distribution
Published online by Cambridge University Press: 14 July 2016
Abstract
We characterize the conditions under which an absorbing Markovian finite process (in discrete or continuous time) can be transformed into a new aggregated process conserving the Markovian property, whose states are elements of a given partition of the original state space. To obtain this characterization, a key tool is the quasi-stationary distribution associated with absorbing processes. It allows the absorbing case to be related to the irreducible one. We are able to calculate the set of all initial distributions of the starting process leading to an aggregated homogeneous Markov process by means of a finite algorithm. Finally, it is shown that the continuous-time case can always be reduced to the discrete one using the uniformization technique.
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- Copyright © Applied Probability Trust 1994
Footnotes
This work was partially supported by the Regional Council of Britanny under Grant 290C2010031305061.
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