Time to Stationarity for a Continuous-Time Markov Chain
- 1 January 1991
- journal article
- research article
- Published by Cambridge University Press (CUP) in Probability in the Engineering and Informational Sciences
- Vol. 5 (1) , 61-76
- https://doi.org/10.1017/s0269964800001893
Abstract
Separation is one measure of distance from stationarity for Markov chains. Strong stationary times provide bounds on separation and so aid in the analysis of mixing rates. The precise connection between separation and strong stationary times was drawn by Aldous and Diaconis (1987) (Advances in Applied Mathematics8: 69−97) for discrete time chains. We develop the corresponding foundational theory for continuous time chains; several new and interesting mathematical issues arise.Keywords
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