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Weak convergence of conditioned processes on a countable state space
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UNSPECIFIED (1995) Weak convergence of conditioned processes on a countable state space. JOURNAL OF APPLIED PROBABILITY, 32 (4). pp. 902-916. ISSN 0021-9002.
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Abstract
We consider the problem of conditioning a continuous-time Markov chain (on a countably infinite state space) not to hit an absorbing barrier before time T; and the weak convergence of this conditional process as T-infinity. We prove a characterization of convergence in terms of the distribution of the process at some arbitrary positive time, t, introduce a decay parameter for the time to absorption, give an example where weak convergence fails, and give sufficient conditions for weak convergence in terms of the existence of a quasi-stationary limit, and a recurrence property of the original process.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | JOURNAL OF APPLIED PROBABILITY | ||||
Publisher: | APPLIED PROBABILITY TRUST | ||||
ISSN: | 0021-9002 | ||||
Official Date: | December 1995 | ||||
Dates: |
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Volume: | 32 | ||||
Number: | 4 | ||||
Number of Pages: | 15 | ||||
Page Range: | pp. 902-916 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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