On Markov Intertwining Relations and Primal Conditioning
JOURNAL OF THEORETICAL PROBABILITY(2023)
摘要
Given an intertwining relation between two finite Markov chains, we investigate how it can be transformed by conditioning the primal Markov chain to stay in a proper subset. A natural assumption on the underlying link kernel is put forward. The three classical examples of discrete Pitman, top-to-random shuffle and absorbed birth-and-death chain intertwinings serve as illustrations.
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关键词
Algebraic and probabilistic Markov intertwining relations,Subset conditioning,Doob transform,Discrete Pitman intertwining,Top-to-random shuffle,Birth-and-death Markov chains,Strong stationary times
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