Countable state Markov processes: non-explosiveness and moment function. (English) Zbl 1379.60088

Summary: The existence of a moment function satisfying a drift function condition is well known to guarantee non-explosiveness of the associated minimal Markov process (cf. [W. J. Anderson, Continuous-time Markov chains. An applications-oriented approach. New York etc.: Springer-Verlag (1991; Zbl 0731.60067); S. P. Meyn and R. L. Tweedie, Adv. Appl. Probab. 25, No. 3, 518–548 (1993; Zbl 0781.60053)]), under standard technical conditions. Surprisingly, the reverse is true as well for a countable space Markov process. We prove this result by showing that recurrence of an associated jump process, that we call the \(\alpha\)-jump process, is equivalent to non-explosiveness. Non-explosiveness corresponds in a natural way to the validity of the Kolmogorov integral relation for the function identically equal to 1. In particular, we show that positive recurrence of the \(\alpha\)-jump chain implies that all bounded functions satisfy the Kolmogorov integral relation. We present a drift function criterion characterizing positive recurrence of this \(\alpha\)-jump chain. Suppose that to a drift function \(V\) there corresponds another drift function \(W\), which is a moment with respect to \(V\). Via a transformation argument, the above relations hold for the transformed process with respect to \(V\). Transferring the results back to the original process, allows to characterize the \(V\)-bounded functions that satisfy the Kolmogorov forward equation.


60J27 Continuous-time Markov processes on discrete state spaces
Full Text: DOI


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