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Conditioning an Additive Functional of a Markov Chain to Stay Non-negative I : Survival for a Long Time 1
| Content Provider | Semantic Scholar |
|---|---|
| Author | Jacka, Saul |
| Copyright Year | 2005 |
| Abstract | Let (Xt)t≥0 be a continuous-time irreducible Markov chain on a finite statespace E, let v be a map v : E → R\{0} and let (φt)t≥0 be an additive functional defined by φt = ∫ t 0 v(Xs)ds. We consider the cases where the process (φt)t≥0 is oscillating and where (φt)t≥0 has a negative drift. In each of the cases we condition the process (Xt, φt)t≥0 on the event that (φt)t≥0 stays non-negative until time T and prove weak convergence of the conditioned process as T →∞. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www2.warwick.ac.uk/fac/sci/statistics/crism/research/paper05-4/05-4w.pdf |
| Alternate Webpage(s) | http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic-research/jacka/addfunc1.pdf |
| Alternate Webpage(s) | http://wrap.warwick.ac.uk/34029/1/WRAP_Jacka_05-4w.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Additive model Irreducibility Markov chain Utility functions on indivisible goods |
| Content Type | Text |
| Resource Type | Article |
