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Stochastic monotonicity and duality for continuous time Markov chains with general q-Matrix

Stochastic monotonicity and duality for continuous time Markov chains with general q-Matrix

Chen, Anyue and Zhang, Hanjun (1999) Stochastic monotonicity and duality for continuous time Markov chains with general q-Matrix. Southeast Asian Bulletin of Mathematics, 23. pp. 383-408. ISSN 0129-2021 (Print), 0219-175X (Online)

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Abstract

The key problems in discussing stochastic monotonicity and duality for continuous time Markov chains are to give the criteria for existence and uniqueness and to construct the associated monotone processes in terms of their infinitesimal q -matrices. In their recent paper, Chen and Zhang [6] discussed these problems under the condition that the given q-matrix Q is conservative. The aim of this paper is to generalize their results to a more general case, i.e., the given q-matrix Q is not necessarily conservative. New problems arise 'in removing the conservative assumption. The existence and uniqueness criteria for this general case are given in this paper. Another important
problem, the construction of all stochastically monotone Q-processes, is also considered.

Item Type: Article
Additional Information: Journal available online from Volume 24 / 2000 only via Springer http://link.springer.com/journal/volumesAndIssues/10012
Uncontrolled Keywords: stochastic monotonicity, duality, continuous time Markov chains, non-conservative q -matrix, existence, uniqueness, construction
Subjects: Q Science > QA Mathematics
Pre-2014 Departments: School of Computing & Mathematical Sciences
Related URLs:
Last Modified: 14 Oct 2016 09:00
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
URI: http://gala.gre.ac.uk/id/eprint/371

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