A fluctuation theory for Markov chains

A fluctuation theory for Markov chains on an ordered countable state space is developed, using ladder processes. These are shown to be Markov renewal processes. Results are given for the joint distribution of the extremum (maximum or minimum) and the first time the extremum is achieved. Also a new classification of the states of a Markov chain is suggested. Two examples are given.

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Year of publication:	1984
Authors:	Kulkarni, V. G. ; Prabhu, N. U.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 16.1984, 1, p. 39-54
Publisher:	Elsevier
Keywords:	Markov chains maximum and minimum functionals ladder processes Wiener-Hopf factorization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872683