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Occupation measures for Markov chains

Published online by Cambridge University Press:  01 July 2016

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

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.

Type
Research Article
Copyright
Copyright © Applied Probability Trust 1977 

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References

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