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(Ebook) Non-Homogeneous Markov

Chains and Systems: Theory and
Applications by P.-C. G. Vassiliou
ISBN 9781138034525, 9781032378046,
9782022023854, 2022023854,
1138034525, 1032378042, 2022023855

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 Non-Homogeneous Markov
Chains and Systems
Non-Homogeneous Markov Chains and Systems: Theory and Applications fulfills two prin-
cipal goals. It is devoted to the study of non-homogeneous Markov chains in the first part, and
to the evolution of the theory and applications of non-homogeneous Markov systems (popula-
tions) in the second. The book is self-contained, requiring a moderate background in basic prob-
ability theory and linear algebra, common to most undergraduate programs in mathematics,
statistics, and applied probability. There are some advanced parts, which need measure theory
and other advanced mathematics, but the readers are alerted to these so they may focus on the
basic results.

Features

• A broad and accessible overview of non-homogeneous Markov chains and systems

• Fills a significant gap in the current literature
• A good balance of theory and applications, with advanced mathematical details separated
from the main results
• Many illustrative examples of potential applications from a variety of fields
• Suitable for use as a course text for postgraduate students of applied probability, or for self-
study
• Potential applications included could lead to other quantitative areas

The book is primarily aimed at postgraduate students, researchers, and practitioners in applied
probability and statistics, and the presentation has been planned and structured in a way to pro-
vide flexibility in topic selection so that the text can be adapted to meet the demands of different
course outlines. The text could be used to teach a course to students studying applied probability
at a postgraduate level or for self-study. It includes many illustrative examples of potential ap-
plications in order to be useful to researchers from a variety of fields.

P.-C.G. Vassiliou is an Honorary Professor in the Department of Statistical Sciences, University

College London. He has been affiliated with UCL for almost a decade.
Taylor & Francis
Taylor & Francis Group
http://taylorandfrancis.com
Non-Homogeneous Markov
Chains and Systems
Theory and Applications

P.-C.G. Vassiliou
University College London, UK
Front cover image: Photo of pond lilies in the garden of author’s house, created by author’s wife, Fevronia Vassiliou. See
Section 14.2.

First edition published 2023

by CRC Press
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Library of Congress Cataloging‑in‑Publication Data

Names: Vassiliou, P-C. G. (Panos-C. G.), author.

Title: Non-homogeneous Markov chains and systems : theory and applications
/ P.-C.G. Vassiliou, University College London, UK.
Description: First edition. | Boca Raton : C&H/CRC Press, 2023. | Includes
bibliographical references and index.
Identifiers: LCCN 2022023854 (print) | LCCN 2022023855 (ebook) | ISBN
9781138034525 (hardback) | ISBN 9781032378046 (paperback) | ISBN
9781315269986 (ebook)
Subjects: LCSH: Markov processes.
Classification: LCC QA274.7 .V37 2023 (print) | LCC QA274.7 (ebook) | DDC
519.2/33--dc23/eng20221006
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LC ebook record available at https://lccn.loc.gov/2022023855

ISBN: 978-1-138-03452-5 (hbk)

ISBN: 978-1-032-37804-6 (pbk)
ISBN: 978-1-315-26998-6 (ebk)

DOI: 10.1201/b23204

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by KnowledgeWorks Global Ltd.

Publisher’s note: This book has been prepared from camera-ready copy provided by the authors.
 To my daughter Olympia, the bravest fighter in life-threatening situations I have ever
known. To my daughter Aglaia, the greatest supporter and joy to all of us. To my wife
Fevronia, the most patient and reliable person in my life. To my grandsons Alexander
and Philip, the greatest sources of joy and love.
Taylor & Francis
Taylor & Francis Group
http://taylorandfrancis.com
 Contents

Preface xiii

Acknowledgments xxi

1 FOUNDATIONS OF PROBABILITY THEORY 1

1.1 Introductory notes 1
1.2 Some set theory and topology 2
1.2.1 Set theory useful in probability 2
1.2.2 Interesting topological spaces 5
1.3 Important family of sets in probability theory 7
1.4 Measurable spaces 9
1.5 Probability spaces 14
1.5.1 Infinite probability spaces 17
1.6 Filtration 20
1.7 Random variables 21
1.8 Integration with respect to a probability measure 25
1.9 Indicator functions 30
1.10 The space L2 is a Hilbert space 31
1.11 Independent σ-algebras and random variables 33
1.12 Convergence of sequences of random variables 33
1.13 The laws of large numbers and the central limit theorem 37
1.14 Conditional distributions and conditional expectations 38
1.15 Change of measure 40
1.16 Existence and uniqueness of conditional expectations 47
1.17 Properties of conditional expectation 49

2 A SMALL REVIEW OF MATRIX ANALYSIS 53

2.1 Introductory notes 53
2.2 Matrices 54
2.2.1 Similarity 56
2.3 The minimal polynomial of A 58
2.3.1 Invariant polynomials and elementary divisors 59
2.3.2 The Jordan canonical form 61
2.3.3 Remarks on the Jordan canonical form of a matrix 63
2.3.4 Construction of the transformation matrix of A to its Jordan form 65
2.4 The norm of a vector 66
2.5 The matrix norm 69
2.6 The Kronecker product of two matrices 77
2.7 The Hadamard product of matrices 81
2.8 Canonical forms of a matrix 83
2.9 Generalized inverses 89
2.10 The Moore-Penrose generalized matrix 91

vii
viii CONTENTS
2.11 The Drazin inverse and the group inverse 92
2.12 The group inverse and Markov chains 98
2.13 Sensitivity of Markov chains 99

3 NON-HOMOGENEOUS MARKOV CHAINS; WEAK ERGODICITY 103

3.1 Introductory notes 103
3.2 Stochastic processes 103
3.3 Markov chain 105
3.3.1 A more advanced definition of a non-homogeneous Markov chain 106
3.4 The life and work of A.A. Markov 107
3.5 Probability distribution in the states of an NHMC 108
3.6 Examples 110
3.6.1 A more advanced result on the relation between a G-non-homogeneous
Markov chain and martingales 112
3.7 Weak and strong ergodicity 114
3.8 Structures for coefficients of ergodicity 115
3.9 Conditions for weak ergodicity for general products 122
3.9.1 A synopsis of the life and mathematical legacy of Wolfgang Doeblin 122
3.9.2 General products of stochastic matrices 123
3.9.3 Consequences of the above general theorems to weak ergodicity of
inhomogeneous Markov chains 127
3.9.4 An application of backward products in non-homogeneous Markov
chains 133
3.10 The dominant role of the Dobrushin ergodicity coefficient 135
3.11 Transition probability matrices are in chronological order 141
3.12 Examples on the use of weak ergodicity theorems 145

4 NON-HOMOGENEOUS MARKOV CHAINS; STRONG

ERGODICITY 147
4.1 Strong ergodicity 147
4.2 Ergodicity and geometric strong ergodicity 148
4.3 Criteria for strong ergodicity for NHMC 151
4.4 Convergence in the Cesaro sense 159
4.4.1 Cyclic subclasses 159
4.4.2 The non-homogeneous case 161
4.5 Uniform strong ergodicity with the use of mean visit times 167
4.6 Strong ergodicity for general products of matrices 172
4.7 Sets of matrices all products of which converge 175
4.8 A geometric approach to ergodic NHMC 176
4.9 Asymptotic behavior with arbitrary stochastic matrices 181
4.9.1 An illustrative example 187

5 THE NON-HOMOGENEOUS MARKOV SYSTEM 191

5.1 Introductory notes 191
5.2 The non-homogeneous Markov system in discrete time and space 192
5.3 The expected and relative expected population structure 194
5.3.1 An expanding NHMS 194
5.3.2 A fluctuating NHMS without forced wastage 197
5.4 A range of NHMS’s environment 199
5.5 The G-non-homogeneous Markov system 209
5.6 Change of measure in G-non-homogeneous Markov systems 211
5.7 The space of random population structures as a Hilbert space 215
CONTENTS ix
5.8 Estimation of the transition probabilities of an NHMS 218
5.9 Research notes 219

6 ASYMPTOTIC BEHAVIOR OF A NON-HOMOGENEOUS MARKOV

SYSTEM 221
6.1 Introductory notes 221
6.2 Asymptotic behavior of the expected population structure 221
6.3 The relative expected population structure 223
6.4 A contracting NHMS without forced wastage 227
6.5 NHMS with non-homogeneous Poisson recruitment 229
6.6 Asymptotic stability in NHMS’s 231
6.7 NHMS as a martingale with Poisson input 233
6.8 Research notes 236

7 ASYMPTOTIC VARIABILITY OF NHMS 239

7.1 Introductory notes 239
7.2 The V matrices and their properties 239
7.3 An illustrative probable application 248
7.4 Rate of convergence of the variability vector 251
7.5 Research notes 254

8 CYCLIC BEHAVIOR OF NON-HOMOGENEOUS MARKOV

SYSTEMS 255
8.1 Introductory notes 255
8.2 Cyclic non-homogeneous Markov systems 255
8.3 An illustrative example from a manpower system 260
∞
8.4 Rate of convergence of {µ (t)}t=0 in an NHMS under cyclic behavior 262
8.5 Research notes 262

9 STOCHASTIC CONTROL IN NHMS’S 263

9.1 Introductory notes 263
9.2 Maintainability in NHMS by input control 263
9.3 Attainability in NHMS by input control 266
9.4 Asymptotically attainable structures 268
9.5 Periodicity of asymptotically attainable structures 271
9.6 An illustrative example 285
9.7 Control of asymptotic variability in NHMS 286
9.8 The NHMS in a stochastic environment 289
9.8.1 The expected population structure of the S-NHMS 290
9.8.2 Evaluating the expected transition probability matrix E[P(t)] 290
9.8.3 Expected value of a random number of Bernoulli trials with
probability of success a random variable 292
9.8.4 The expected population structure 292
9.9 Maintainability in a stochastic environment 293
9.10 Strategies for attaining a structure in an S-NHMS 296
9.11 An illustrative application 298
9.12 Research notes 298
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