Time changes of Markov chains

DOI10.1016/0304-4149(82)90034-5zbMath0489.60072OpenAlexW2118473390MaRDI QIDQ1166837

Arthur O. Pittenger

Publication date: 1982

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(82)90034-5

zbMATH Keywords

stopping timeconditional independence timesMarkov time changessplitting times

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Relations between connected and self-avoiding hikes in labelled complete digraphs, Estimating the transition matrix of a Markov chain observed at random times, Birth times, death times and time substitutions in Markov chains, A note on random time changes of Markov chains

Cites Work

• Raw time changes of Markov processes
• Applications of raw time-changes to Markov processes
• Regular birth times for Markov processes
• Birth, death and conditioning of Markov chains
• The Markov property at co-optional times
• Unnamed Item