Konstantin Avrachenkov, Alexei Piunovskiy, Zhang Yi. Markov Processes with Restart
Submitted on: Dec 03, 2012, 06:21:17
Natural Sciences / Mathematics / Probability
Description: We consider a general honest homogeneous continuous-time Markov process with restarts. The process is forced to restart from a given distribution at time moments generated by an independent Poisson process. The motivation to study such processes comes from modeling human and animal mobility patterns, restart processes in communication protocols, and from application of restarting random walks in information retrieval. We provide a connection between the transition probability functions of the original Markov process and the modified process with restarts. We give closed-form expressions for the invariant probability measure of the modified process. When the process evolves on the Euclidean space there is also a closed-form expression for the moments of the modified process. We show that the modified process is always positive Harris recurrent and exponentially ergodic with the index equal to (or bigger than) the rate of restarts. Finally, we illustrate the general results by the standard and geometric Brownian motions.
The abstract of this article will be published in the December 2012 issue of "Intellectual Archive Bulletin", ISSN 1929-1329.
The Library and Archives Canada reference page: collectionscanada.gc.ca/ourl/res.php?url_ver=Z39.88......
To read the article posted on Intellectual Archive web site please click the link below.