View Related Documents

Abstract

LetX(t), 0letinfin, be an ergodic continuous-time Markov chain with finite or countably infinite state space. We construct astrong stationary dual chainX * whose first hitting times yield bounds on the convergence to stationarity forX. The development follows closely the discrete-time theory of Diaconis and Fill.(2,3) However, for applicability it is important that we formulate our results in terms of infinitesimal rates, and this raises new issues.

Key Words  Markov chains - generators - mixing rates - variation distance - time to stationarity - strong stationary duality - monotone likelihood ratio - birth and death chains - ergenvalues

Fulltext Preview

Image of the first page of the fulltext document