Electronic Communications in Probability

Markov processes with product-form stationary distribution

Krzysztof Burdzy and David White

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Abstract

We consider a continuous time Markov process $(X,L)$, where $X$ jumps between a finite number of states and $L$ is a piecewise linear process with state space $\mathbb{R}^d$. The process $L$ represents an "inert drift" or "reinforcement." We find sufficient and necessary conditions for the process $(X,L)$ to have a stationary distribution of the product form, such that the marginal distribution of $L$ is Gaussian. We present a number of conjectures for processes with a similar structure but with continuous state spaces.

Article information

Source
Electron. Commun. Probab., Volume 13 (2008), paper no. 56, 614-627.

Dates
Accepted: 8 December 2008
First available in Project Euclid: 6 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465233483

Digital Object Identifier
doi:10.1214/ECP.v13-1428

Mathematical Reviews number (MathSciNet)
MR2461535

Zentralblatt MATH identifier
1189.60139

Subjects
Primary: 60J25: Continuous-time Markov processes on general state spaces

Keywords
Markov process stationary distribution inert drift

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Burdzy, Krzysztof; White, David. Markov processes with product-form stationary distribution. Electron. Commun. Probab. 13 (2008), paper no. 56, 614--627. doi:10.1214/ECP.v13-1428. https://projecteuclid.org/euclid.ecp/1465233483


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References

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