Some theorems on the transient covariance of Markov chains

Abstract

Several authors have considered the covariance structure of continuous parameter Markov chains. Most of this work has dealt with particular process ses, notably Morse (1955) who analysed the simple M/M/1 queue and Bene-(1961) who considered a telephone trunking model. Furthermore, the results obtained apply only when the process has attained its limiting (stationary) distribution. A recent paper by Reynolds (1968) gave some general results for finite chains, still assuming stationarity. This note generalises the results obtained therein, and considers the covariance structure during the transient period prior to attaining the stationary distribution where this exists. In the case where no such distribution exists, the results are valid throughout the whole lifetime of the process.