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SIEGMUND DUALITY FOR MARKOV CHAINS ON PARTIALLY ORDERED STATE SPACES

Published online by Cambridge University Press:  04 September 2017

Paweł Lorek Open the ORCID record for Paweł Lorek [Opens in a new window]
Paweł Lorek*
Affiliation:
Mathematical Institute, University of Wrocław, pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland E-mail: Pawel.Lorek@math.uni.wroc.pl
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Abstract

For a Markov chain on a finite partially ordered state space, we show that its Siegmund dual exists if and only if the chain is Möbius monotone. This is an extension of Siegmund's result for totally ordered state spaces, in which case the existence of the dual is equivalent to the usual stochastic monotonicity. Exploiting the relation between the stationary distribution of an ergodic chain and the absorption probabilities of its Siegmund dual, we present three applications: calculating the absorption probabilities of a chain with two absorbing states knowing the stationary distribution of the other chain; calculating the stationary distribution of an ergodic chain knowing the absorption probabilities of the other chain; and providing a stable simulation scheme for the stationary distribution of a chain provided we can simulate its Siegmund dual. These are accompanied by concrete examples: the gambler's ruin problem with arbitrary winning/losing probabilities; a non-symmetric game; an extension of a birth and death chain; a chain corresponding to the Fisher–Wright model; a non-standard tandem network of two servers, and the Ising model on a circle. We also show that one can construct a strong stationary dual chain by taking the appropriate Doob transform of the Siegmund dual of the time-reversed chain.

Keywords

Doob h-transformgambler's ruin problemMarkov chainsMöbius monotonicitypartial orderingSiegmund dualitystrong stationary duality
Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 32 , Issue 4 , October 2018 , pp. 495 - 521
Copyright
Copyright © Cambridge University Press 2017 

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