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 Electronic Journal of Probability > Vol. 12 (2007) > Paper 23 open journal systems 


Occupation laws for some time-nonhomogeneous Markov chains

Zach Dietz, Tulane University
Sunder Sethuraman, Iowa State University


Abstract

We consider finite-state time-nonhomogeneous Markov chains whose transition matrix at time n is I+G/nz where G is a ``generator'' matrix, that is G(i,j)>0 for i,j distinct, and G(i,i)= -∑ ki G(i,k), and z>0 is a strength parameter. In these chains, as time grows, the positions are less and less likely to change, and so form simple models of age-dependent time-reinforcing schemes. These chains, however, exhibit a trichotomy of occupation behaviors depending on parameters.

We show that the average occupation or empirical distribution vector up to time n, when variously 0<z<1, z>1 or z=1, converges in probability to a unique ``stationary'' vector nG, converges in law to a nontrivial mixture of point measures, or converges in law to a distribution mG with no atoms and full support on a simplex respectively, as n tends to infinity. This last type of limit can be interpreted as a sort of ``spreading'' between the cases 0<z<1 and z>1.

In particular, when G is appropriately chosen, mG is a Dirichlet distribution, reminiscent of results in Polya urns.




Full text: PDF

Pages: 661-683

Published on: May 16, 2007


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Electronic Journal of Probability. ISSN: 1083-6489