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Principle Seminar of the Department of Probability Theory, Moscow State University
December 23, 2015 16:45, Moscow, MSU, auditorium 12-24
 


Explosion, implosion, and moments of passage times for continuous-time Markov chains : a semimartingale approach
Joint work with Dimitri Petritis (University of Rennes France)


M. V. Men'shikov

Department of Mathematical Sciences, Durham University

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Abstract: We establish general theorems quantifying the notion of recurrence — through an estimation of the moments of passage times — for irreducible continuous-time Markov chains on countably infinite state spaces. Sharp conditions of occurrence of the phenomenon of explosion are also obtained. A new phenomenon of implosion is introduced and sharp conditions for its occurrence are proven.

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