Wiener–Hopf Factorization for Time-Inhomogeneous Markov Chains and its Application

• Autorzy: Bielecki Tomasz R. , Cialenco Igor , Gong Ruoting , Huang Yicong

Identyfikatory

DOI

10.37190/0208-4147.40.2.3

• Języki publikacji: EN

Abstrakty

EN

We derive the Wiener–Hopf factorization for a finite-state timeinhomogeneous Markov chain. Considered as the first step in the direction of theWiener–Hopf factorization for time-inhomogeneous Markov chains, this work deals only with a special, but important class of time-inhomogeneous Markovian generators, namely piecewise constant generators, which allows us to use an appropriately tailored randomization technique.

Słowa kluczowe

EN

Wiener–Hopf factorization; inhomogeneous Markov chain; fluctuation theory; randomization method; additive functional

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2020
• Tom: Vol. 40, Fasc. 2
• Strony: 225--244
• Opis fizyczny: Bibliogr. 22 poz.

Twórcy

autor

Bielecki Tomasz R.

• Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL 60616, USA

autor

Cialenco Igor

• Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL 60616, USA

autor

Gong Ruoting

• Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL 60616, USA

autor

Huang Yicong

• Constellation, an Exelon company, Baltimore, MD 21231, USA

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2021).