Gotz Kersting, Kaya Memisoglu
Published 2004-10-06Version 1
We present two path decompositions of Markov chains (with general state space) by means of harmonic functions, which are dual to each other. They can be seen as a generalization of Williams' decomposition of a Brownian motion with drift. The results may be illustrated by a multitude of examples, but we confine ourselves to different types of random walks and the Polya urn.
Comments: Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000234
Journal: Annals of Probability 2004, Vol. 32, No. 2, 1370-1390
Harmonic functions of random walks in a semigroup via ladder heights
Entrance and sojourn times for Markov chains. Application to $(L,R)$-random walks
Adiabatic times for Markov chains and applications
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