Exact aggregation of absorbing Markov processes using quasi-stationary distribution

Abstract : We characterize the conditions under which an absorbing Markovian finite process (in discrete or continuous time) can be transformed into a new aggregated process conserving the Markovian property, whose states are elements of a given partition of the original state space. To obtain this characterization, a key tool is the quasi-stationary distribution associated with absorbing processes. It allows the absorbing case to be related to the irreducible one. We are able to calculate the set of all initial distributions of the starting process leading to an aggregated homogeneous Markov process by means of a finite algorithm. Finally, it is shown that the continuous time case can always be reduced to the discrete one using the uniformization technique.
Type de document :
Article dans une revue
Journal of Applied Probability, Applied Probability Trust, 1994, 31 (3), pp.626-634
Liste complète des métadonnées

Littérature citée [9 références]  Voir  Masquer  Télécharger

https://hal.archives-ouvertes.fr/hal-00852327
Contributeur : James Ledoux <>
Soumis le : mardi 20 août 2013 - 16:04:58
Dernière modification le : vendredi 16 novembre 2018 - 01:31:11
Document(s) archivé(s) le : jeudi 21 novembre 2013 - 04:14:53

Fichier

Net-WeakAbs.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00852327, version 1

Citation

James Ledoux, Gerardo Rubino, Bruno Sericola. Exact aggregation of absorbing Markov processes using quasi-stationary distribution. Journal of Applied Probability, Applied Probability Trust, 1994, 31 (3), pp.626-634. 〈hal-00852327〉

Partager

Métriques

Consultations de la notice

887

Téléchargements de fichiers

189