Abstract
Let $S$ be a countable set and let $Q$ be a stochastic matrix on $S \times S$. An entrance law for $Q$ is a collection $\mathbf{\mu} = \{\mu_n\}_{n\in\mathbb{Z}}$ of probability measures on $S$ such that $\mu_nQ = \mu_{n+1}$ for all $n\in\mathbb{Z}$. There is a natural correspondence between entrance laws and Markov chains $\xi_n$ with stationary transition probabilities $Q$ and time parameter set $\mathbb{Z}$. The set $\mathscr{L}(Q)$ of entrance laws is examined in the discrete and continuous time setting. Criteria are given which insure the existence of nontrivial entrance laws.
Citation
J. Theodore Cox. "Entrance Laws for Markov Chains." Ann. Probab. 5 (4) 533 - 549, August, 1977. https://doi.org/10.1214/aop/1176995759
Information