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Discrete Time Analogs

To illustrate, in the discrete time version of (22) (see Kemeny-Snell [35] page 212) there is another term which must be subtracted due to double counting on the diagonal in (17): For T a Markov killing time of the discrete time Markov chain, tex2html_wrap_inline3374 ,

equation1902

where tex2html_wrap_inline3376 is the discrete time potential kernel tex2html_wrap_inline3378 for tex2html_wrap_inline3380 as in (2). Because of diagonal terms like tex2html_wrap_inline3382 above, the discrete time moment formulae do not iterate neatly except when v is the indicator of some subset B of E. In this case tex2html_wrap_inline3390 (say) is the number of hits on B before time T, and there is the following analog of Kac's formula for the rising factorial moments of tex2html_wrap_inline3396 [50, 51]:

equation1906

where tex2html_wrap_inline3398 is the operator of multiplication by the indicator of B. See [50, 51] and Section 3.2 of [29] for further moment formulae in discrete time.



Patrick Fitzsimmons
Wed May 17 08:50:36 PDT 2000