On time duality for quasi-birth-and-death processes

  • We say that (weak/strong) time duality holds for continuous time quasi-birth-and-death-processes if, starting from a fixed level, the first hitting time of the next upper level and the first hitting time of the next lower level have the same distribution. We present here a criterion for time duality in the case where transitions from one level to another have to pass through a given single state, the so-called bottleneck property. We also prove that a weaker form of reversibility called balanced under permutation is sufficient for the time duality to hold. We then discuss the general case.

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Metadaten
Author:Peter Keller, Sylvie Roelly, Angelo Valleriani
URN:urn:nbn:de:kobv:517-opus-56973
Series (Serial Number):Preprints des Instituts für Mathematik der Universität Potsdam (1 (2012) 4)
Document Type:Preprint
Language:English
Date of Publication (online):2012/01/06
Year of Completion:2012
Publishing Institution:Universität Potsdam
Release Date:2012/01/06
Tag:absorbing boundary; continuous time Markov chain; hitting times; time duality
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
MSC Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J27 Continuous-time Markov processes on discrete state spaces
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J28 Applications of continuous-time Markov processes on discrete state spaces
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Kxx Special processes / 60K40 Other physical applications of random processes
Collections:Universität Potsdam / Schriftenreihen / Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943 / 2012
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht
Notes extern:RVK-Klassifikation: SI 990 , SK 820