%0 Journal Article %1 bielecki2018wienerhopf %A Bielecki, Tomasz R. %A Cialenco, Igor %A Gong, Ruoting %A Huang, Yicong %D 2018 %K markov-chain non-homogeneous-markov-process %T Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application %U http://arxiv.org/abs/1801.05553 %X In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To the best of our knowledge, this study is the first attempt to investigate the Wiener-Hopf factorization for time-inhomogeneous Markov chains. In this work we only deal with a special class of time-inhomogeneous Markovian generators, namely piece-wise constant, which allows to use an appropriately tailored randomization technique. Besides the mathematical importance of the Wiener-Hopf factorization methodology, there is also an important computational aspect: it allows for efficient computation of important functionals of Markov chains.

@article{bielecki2018wienerhopf, abstract = {In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To the best of our knowledge, this study is the first attempt to investigate the Wiener-Hopf factorization for time-inhomogeneous Markov chains. In this work we only deal with a special class of time-inhomogeneous Markovian generators, namely piece-wise constant, which allows to use an appropriately tailored randomization technique. Besides the mathematical importance of the Wiener-Hopf factorization methodology, there is also an important computational aspect: it allows for efficient computation of important functionals of Markov chains.}, added-at = {2018-01-18T18:55:41.000+0100}, author = {Bielecki, Tomasz R. and Cialenco, Igor and Gong, Ruoting and Huang, Yicong}, biburl = {https://www.bibsonomy.org/bibtex/2b8baeeff385326256a0d3fc223e890e3/claired}, description = {Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application}, interhash = {79c6a5423968bf552752bc640cda5e26}, intrahash = {b8baeeff385326256a0d3fc223e890e3}, keywords = {markov-chain non-homogeneous-markov-process}, note = {cite arxiv:1801.05553Comment: 19 pages}, timestamp = {2018-01-18T18:55:41.000+0100}, title = {Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application}, url = {http://arxiv.org/abs/1801.05553}, year = 2018 }