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Entrance Laws for Markov Chains

J. Theodore Cox
The Annals of Probability
Vol. 5, No. 4 (Aug., 1977), pp. 533-549
Stable URL: http://www.jstor.org/stable/2243075
Page Count: 17
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Entrance Laws for Markov Chains
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Abstract

Let $S$ be a countable set and let $Q$ be a stochastic matrix on $S \times S$. An entrance law for $Q$ is a collection $\mathbf{\mu} = \{\mu_n\}_{n\in\mathbb{Z}}$ of probability measures on $S$ such that $\mu_nQ = \mu_{n+1}$ for all $n\in\mathbb{Z}$. There is a natural correspondence between entrance laws and Markov chains $\xi_n$ with stationary transition probabilities $Q$ and time parameter set $\mathbb{Z}$. The set $\mathscr{L}(Q)$ of entrance laws is examined in the discrete and continuous time setting. Criteria are given which insure the existence of nontrivial entrance laws.

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