On Markov intertwining relations and primal conditioning
Language
en
Article de revue
This item was published in
Journal of Theoretical Probability. 2023
Springer
Date
2023English Abstract
Given an intertwining relation between two finite Markov chains, we investigate how it can be transformed by conditioning the primal Markov chain to stay in a proper subset. A natural assumption on the underlying link ...Read more >
Given an intertwining relation between two finite Markov chains, we investigate how it can be transformed by conditioning the primal Markov chain to stay in a proper subset. A natural assumption on the underlying link kernel is put forward. The three classical examples of discrete Pitman, top-torandom shuffle and absorbed birth-and-death chain intertwinings serve as illustrations.Read less <
English Keywords
Algebraic and probabilistic Markov intertwining relations
subset conditioning
Doob transform
discrete Pitman intertwining
top-to-random shuffle
birth-and-death Markov chains
strong stationary times
Origin
Hal imported