Hitting Times and Interlacing Eigenvalues: A Stochastic Approach Using Intertwinings

Abstract

We develop a systematic matrix-analytic approach, based on intertwinings of Markov semigroups, for proving theorems about hitting-time distributions for finite-state Markov chains—an approach that (sometimes) deepens understanding of the theorems by providing corresponding sample-path-by-sample-path stochastic constructions. We employ our approach to give new proofs and constructions for two theorems due to Mark Brown, theorems giving two quite different representations of hitting-time distributions for finite-state Markov chains started in stationarity. The proof, and corresponding construction, for one of the two theorems elucidates an intriguing connection between hitting-time distributions and the interlacing eigenvalues theorem for bordered symmetric matrices.