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Markov processes with product-form stationary distribution


 
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1. Title Title of document Markov processes with product-form stationary distribution
 
2. Creator Author's name, affiliation, country Krzysztof Burdzy; University of Washington
 
2. Creator Author's name, affiliation, country David White; Belmont University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Markov process, stationary distribution, inert drift
 
3. Subject Subject classification 60J25
 
4. Description Abstract We consider a continuous time Markov process $(X,L)$, where $X$ jumps between a finite number of states and $L$ is a piecewise linear process with state space $\mathbb{R}^d$. The process $L$ represents an "inert drift" or "reinforcement." We find sufficient and necessary conditions for the process $(X,L)$ to have a stationary distribution of the product form, such that the marginal distribution of $L$ is Gaussian. We present a number of conjectures for processes with a similar structure but with continuous state spaces.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) NSF
 
7. Date (YYYY-MM-DD) 2008-12-08
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1428
 
10. Identifier Digital Object Identifier 10.1214/ECP.v13-1428
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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