Path decompositions for Markov chains

• 成果类型: Article
• 署名作者: Kersting, G; Memisoglu, K
• 署名单位: Goethe University Frankfurt
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/009117904000000234
• 发表日期: 2004
• 页码: 1370-1390
• 关键词: Levy processes; DIFFUSIONS; infimum

摘要

We present two path decompositions of Markov chains (with general state space) by means of harmonic functions, which are dual to each other. They can be seen as a generalization of Williams' decomposition of a Brownian motion with drift. The results may be illustrated by a multitude of examples, but we confine ourselves to different types of random walks and the Polya urn.