Path decompositions for Markov chains

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We present two path decompositions of Markov chains (with general state space) by means of harmonic functions, which are dual to each other. They can be seen as a generalization of Williams' decomposition of a Brownian motion with drift. The results may be illustrated by a multitude of examples, but we confine ourselves to different types of random walks and the Polya urn.
Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000234

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Probability, 60J10 (Primary) 60J45. (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/72769

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0410142
 http://arxiv.org/abs/math/0410142
 Annals of Probability 2004, Vol. 32, No. 2, 1370-1390
 doi:10.1214/009117904000000234

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