- 12-22 Mikhail Menshikov and Dimitri Petritis
- Explosion, implosion, and moments of passage times for continuous-time Markov chains:
a semimartingale approach
Feb 12, 12
(auto. generated pdf),
of related papers
Abstract. We establish general theorems quantifying the notion of recurrence --- through an estimation of the moments of passage times --- for irreducible continuous-time Markov chains on countably infinite state spaces. Sharp conditions of occurrence of the phenomenon of explosion are also obtained.
A new phenomenon of implosion is introduced and sharp conditions for its
occurrence are proven.
The general results are illustrated by treating models having a difficult behaviour even in discrete time.