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Markovian couplings staying in arbitrary subsets of the state space

Part of: Special processes Markov processes

Published online by Cambridge University Press:  14 July 2016

F. Javier López  and
Gerardo Sanz
F. Javier López*
Affiliation:
Universidad de Zaragoza
Gerardo Sanz*
Affiliation:
Universidad de Zaragoza
*
∗ Postal address: Dpto. Métodos Estadísticos, Facultad de Ciencias, Universidad de Zaragoza, 50009 Zaragoza, Spain.
∗ Postal address: Dpto. Métodos Estadísticos, Facultad de Ciencias, Universidad de Zaragoza, 50009 Zaragoza, Spain.
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Abstract

Let (Xt) and (Yt) be continuous-time Markov chains with countable state spaces E and F and let K be an arbitrary subset of E x F. We give necessary and sufficient conditions on the transition rates of (Xt) and (Yt) for the existence of a coupling which stays in K. We also show that when such a coupling exists, it can be chosen to be Markovian and give a way to construct it. In the case E=F and K ⊆ E x E, we see how the problem of construction of the coupling can be simplified. We give some examples of use and application of our results, including a new concept of lumpability in Markov chains.

Keywords

Markov chaincouplinglumpability

MSC classification

Primary: 60J27: Continuous-time Markov processes on discrete state spaces
Secondary: 60K25: Queueing theory
Type
Research Papers
Information
Journal of Applied Probability , Volume 39 , Issue 1 , March 2002 , pp. 197 - 212
Copyright
Copyright © Applied Probability Trust 2002 

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