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Continuous-time, constant causative Markov chains

Author

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  • Johnson, Jean T.

Abstract

The definition of a constant causative Markov chain is extended to the continuous-time case. Such chains are nonhomogeneous and are found to have intensity matrices of the form Q(t) = tC + Q. Ergodicity is investigated resulting in an extension to continuous-time of a version of Lipstein's conjecture for constant causative chains. In the case where Q and C commute the irreducibility and ergodicity of the constant-causative chain can be directly related to that of two corresponding discrete-time, homogeneous chains, .

Suggested Citation

  • Johnson, Jean T., 1987. "Continuous-time, constant causative Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 26, pages 161-171.
    • Handle: RePEc:eee:spapps:v:26:y:1987:i::p:161-171
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