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Path decompositions for Markov chains

Gotz Kersting·Kaya Memisoglu
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Abstract

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.

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BibTeXRIS

Gotz Kersting, Kaya Memisoglu. 2004-10-06. Path decompositions for Markov chains. https://doi.org/10.1214/009117904000000234

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