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math.PR2019
Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains
Tomasz R. Bielecki, Ziteng Cheng, Igor Cialenco +1
This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the…
math.PR2018
Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
Tomasz R. Bielecki, Igor Cialenco, Ruoting Gong +1
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 investiga…