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Two-sided taboo limits for Markov processes and associated perfect simulation

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  • Glynn, Peter W.
  • Thorisson, Hermann

Abstract

In this paper, we study the two-sided taboo limit processes that arise when a Markov chain or process is conditioned on staying in some set A for a long period of time. The taboo limit is time-homogeneous after time 0 and time-inhomogeneous before time 0. The time-reversed limit has this same qualitative structure. The precise transition structure at the taboo limit is identified in the context of discrete- and continuous-time Markov chains, as well as diffusions. In addition, we present a perfect simulation algorithm for generating exact samples from the quasi-stationary distribution of a finite-state Markov chain.

Suggested Citation

  • Glynn, Peter W. & Thorisson, Hermann, 2001. "Two-sided taboo limits for Markov processes and associated perfect simulation," Stochastic Processes and their Applications, Elsevier, vol. 91(1), pages 1-20, January.
    • Handle: RePEc:eee:spapps:v:91:y:2001:i:1:p:1-20
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    Cited by:

    1. Glynn, Peter W. & Thorisson, Hermann, 2002. "Structural characterization of taboo-stationarity for general processes in two-sided time," Stochastic Processes and their Applications, Elsevier, vol. 102(2), pages 311-318, December.

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