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Asymptotic filtering for finite state Markov chains

โœ Scribed by Rafail Khasminskii; Ofer Zeitouni

Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
390 KB
Volume
63
Category
Article
ISSN
0304-4149

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Joint Distributions of the Numbers of Vi
Joint Distributions of the Numbers of Visits for Finite-State Markov Chains
โœ Wolfgang Stadje ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 163 KB

For a discrete-time Markov chain with finite state space [1, ..., r] we consider the joint distribution of the numbers of visits in states 1, ..., r&1 during the first N steps or before the N th visit to r. From the explicit expressions for the corresponding generating functions we obtain the limiti