Author:
Scott Mark,Isaacson Dean L.
Abstract
By assuming the proportionality of the intensity functions at each time point for a continuous-time non-homogeneous Markov process, strong ergodicity for the process is determined through strong ergodicity of a related discrete-time Markov process. For processes having proportional intensities, strong ergodicity implies having the limiting matrix L satisfy L · P(s, t) = L, where P(s, t) is the matrix of transition functions.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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