UNIVERSITY
OF WROC£AW
 
Main Page
Contents
Online First
General Information
Instructions for authors


VOLUMES
44.1 43.2 43.1 42.2 42.1 41.2 41.1
40.2 40.1 39.2 39.1 38.2 38.1 37.2
37.1 36.2 36.1 35.2 35.1 34.2 34.1
33.2 33.1 32.2 32.1 31.2 31.1 30.2
30.1 29.2 29.1 28.2 28.1 27.2 27.1
26.2 26.1 25.2 25.1 24.2 24.1 23.2
23.1 22.2 22.1 21.2 21.1 20.2 20.1
19.2 19.1 18.2 18.1 17.2 17.1 16.2
16.1 15 14.2 14.1 13.2 13.1 12.2
12.1 11.2 11.1 10.2 10.1 9.2 9.1
8 7.2 7.1 6.2 6.1 5.2 5.1
4.2 4.1 3.2 3.1 2.2 2.1 1.2
1.1
 
 
WROC£AW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 40, Fasc. 2,
pages 225 - 244
DOI: 10.37190/0208-4147.40.2.3
Published online 18.6.2020
 

Wiener--Hopf factorization for time-inhomogeneous Markov chains and its application

T. R. Bielecki
Igor Cialenco
Ruoting Gong
Yicong Huang

Abstract: We derive the Wiener–Hopf factorization for a finite-state time-inhomogeneous Markov chain. Considered as the first step in the direction of the Wiener–Hopf factorization for time-inhomogeneous Markov chains, this work deals only with a special, but important class of time-inhomogeneous Markovian generators, namely piecewise constant generators, which allows us to use an appropriately tailored randomization technique.

2010 AMS Mathematics Subject Classification: Primary 60J27, 60J28, 60K30, 90B05. Secondary XXXX.

Keywords and phrases: Wiener--Hopf factorization, inhomogeneous Markov chain, fluctuation theory, randomization method, additive functional.

Download:    Abstract    Full text   Abstract + References