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June, 1977 Birth, Death and Conditioning of Markov Chains
M. Jacobsen, J. W. Pitman
Ann. Probab. 5(3): 430-450 (June, 1977). DOI: 10.1214/aop/1176995803

Abstract

Given a Markov chain with stationary transition probabilities, we study random times $\tau$ determined by the evolution of the Markov chain for which either the pre-$\tau$ or post-$\tau$ process is Markovian with stationary transition probabilities. A complete description is given of all such random times which admit a conditional independence property analogous to the strong Markov property at a stopping time.

Citation

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M. Jacobsen. J. W. Pitman. "Birth, Death and Conditioning of Markov Chains." Ann. Probab. 5 (3) 430 - 450, June, 1977. https://doi.org/10.1214/aop/1176995803

Information

Published: June, 1977
First available in Project Euclid: 19 April 2007

zbMATH: 0363.60052
MathSciNet: MR445613
Digital Object Identifier: 10.1214/aop/1176995803

Subjects:
Primary: 60J10
Secondary: 60G40

Rights: Copyright © 1977 Institute of Mathematical Statistics

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Vol.5 • No. 3 • June, 1977
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