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Time to Stationarity for a Continuous-Time Markov Chain

Published online by Cambridge University Press:  27 July 2009

James Allen Fill
James Allen Fill
Affiliation:
Department of Mathematical Sciences The Johns Hopkins University Baltimore, Maryland 21218
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Abstract

Separation is one measure of distance from stationarity for Markov chains. Strong stationary times provide bounds on separation and so aid in the analysis of mixing rates. The precise connection between separation and strong stationary times was drawn by Aldous and Diaconis (1987) (Advances in Applied Mathematics 8: 69−97) for discrete time chains. We develop the corresponding foundational theory for continuous time chains; several new and interesting mathematical issues arise.

Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 5 , Issue 1 , January 1991 , pp. 61 - 76
Copyright
Copyright © Cambridge University Press 1991

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