Occupation measures for Markov chains
- 1 March 1977
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 9 (1), 69-86
- https://doi.org/10.2307/1425817
Abstract
An occupation measure describes the expected amount of time a stochastic process spends in different parts of its state space prior to a given random time. It is shown that a basic identity involving occupation measures provides a unified approach to a variety of moment identities for Markov chains, and some connections with potential theory are made.Keywords
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