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Occupation measures for Markov chains

Published online by Cambridge University Press:  01 July 2016

J. W. Pitman
J. W. Pitman*
Affiliation:
University of California, Berkeley
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Abstract

An occupation measure describes the expected amount of time a stochastic process spends in different parts of its state space prior to a given random time. It is shown that a basic identity involving occupation measures provides a unified approach to a variety of moment identities for Markov chains, and some connections with potential theory are made.

Keywords

markov chainsstopping timesoccupation timespotential theory
Type
Research Article
Information
Advances in Applied Probability , Volume 9 , Issue 1 , March 1977 , pp. 69 - 86
Copyright
Copyright © Applied Probability Trust 1977 

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