The age of a Markov process

Abstract

Listen

Translate article

The concept of a limiting conditional age distribution of a continuous time Markov process whose state space is the set of non-negative integers and for which {0} is absorbing is defined as the weak limit as t →∞ of the last time before t an associated “return” Markov process exited from {0} conditional on the state, j , of this process at t . It is shown that this limit exists and is non-defective if the return process is ρ-recurrent and satisfies the strong ratio limit property. As a preliminary to the proof of the main results some general results are established on the representation of the ρ-invariant measure and function of a Markov process. The conditions of the main results are shown to be satisfied by the return process constructed from a Markov branching process and by birth and death processes. Finally, a number of limit theorems for the limiting age as j →∞ are given.