Abstract
A Markov chain in continuous time may be treated as a Markov chain in discrete time with random Poisson transition epochs, or as a limit of such discrete time chains. The uniformization procedure establishing a theoretical bridge between discrete and continuous time is simple and has a variety of benefits, computational and theoretical. In particular ergodicity and time-reversibility for Markov chains may be discussed in this way. The prevalence and importance of time-reversible chains is examined.
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© 1979 Springer-Verlag New York Inc.
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Keilson, J. (1979). Markov Chains in Continuous Time; Uniformization; Reversibility. In: Keilson, J. (eds) Markov Chain Models — Rarity and Exponentiality. Applied Mathematical Sciences, vol 28. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-6200-8_3
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DOI: https://doi.org/10.1007/978-1-4612-6200-8_3
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-90405-4
Online ISBN: 978-1-4612-6200-8
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