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Energy of Markov chains
Published online by Cambridge University Press: 01 July 2016
Abstract
After preliminaries on Markov chains, supermartingales and potential theory (Section 1), the energy of a potential supermartingale generated by an increasing process is defined. The paper examines some properties of the energy of potentials of the form Ut = p(Xt) where p is a purely excessive function (which is also a potential of a charge) for a Markov chain (Xt). Also, the mutual energy of two potentials associated with the same Markov chain is discussed. Finally, several applications and examples are worked out in detail (Section 3).
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- Research Article
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- Copyright © Applied Probability Trust 1979
Footnotes
This paper is an expanded version of one presented at the Fourth Conference on Stochastic processs and their Applications, York University, Ontario, Canada, in August 1974.
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