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Relevant bibliographies by topics / Markov reversibility

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Academic literature on the topic 'Markov reversibility'

Author: Grafiati

Published: 23 September 2022

Last updated: 21 October 2022

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Journal articles on the topic "Markov reversibility"

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Beare, Brendan K., and Juwon Seo. "TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS." Econometric Theory 30, no. 5 (April 16, 2014): 923–60. http://dx.doi.org/10.1017/s0266466614000115.

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Economic and financial time series frequently exhibit time irreversible dynamics. For instance, there is considerable evidence of asymmetric fluctuations in many macroeconomic and financial variables, and certain game theoretic models of price determination predict asymmetric cycles in price series. In this paper, we make two primary contributions to the econometric literature on time reversibility. First, we propose a new test of time reversibility, applicable to stationary Markov chains. Compared to existing tests, our test has the advantage of being consistent against arbitrary violations of reversibility. Second, we explain how a circulation density function may be used to characterize the nature of time irreversibility when it is present. We propose a copula-based estimator of the circulation density and verify that it is well behaved asymptotically under suitable regularity conditions. We illustrate the use of our time reversibility test and circulation density estimator by applying them to five years of Canadian gasoline price markup data.

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Ōsawa, Hideo. "Reversibility of Markov chains with applications to storage models." Journal of Applied Probability 22, no. 1 (March 1985): 123–37. http://dx.doi.org/10.2307/3213752.

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This paper studies the reversibility conditions of stationary Markov chains (discrete-time Markov processes) with general state space. In particular, we investigate the Markov chains having atomic points in the state space. Such processes are often seen in storage models, for example waiting time in a queue, insurance risk reserve, dam content and so on. The necessary and sufficient conditions for reversibility of these processes are obtained. Further, we apply these conditions to some storage models and present some interesting results for single-server queues and a finite insurance risk model.

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Ōsawa, Hideo. "Reversibility of Markov chains with applications to storage models." Journal of Applied Probability 22, no. 01 (March 1985): 123–37. http://dx.doi.org/10.1017/s0021900200029053.

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This paper studies the reversibility conditions of stationary Markov chains (discrete-time Markov processes) with general state space. In particular, we investigate the Markov chains having atomic points in the state space. Such processes are often seen in storage models, for example waiting time in a queue, insurance risk reserve, dam content and so on. The necessary and sufficient conditions for reversibility of these processes are obtained. Further, we apply these conditions to some storage models and present some interesting results for single-server queues and a finite insurance risk model.

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Steuber, Tara L., Peter C. Kiessler, and Robert Lund. "TESTING FOR REVERSIBILITY IN MARKOV CHAIN DATA." Probability in the Engineering and Informational Sciences 26, no. 4 (July 30, 2012): 593–611. http://dx.doi.org/10.1017/s0269964812000228.

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This paper introduces two statistics that assess whether (or not) a sequence sampled from a stationary time-homogeneous Markov chain on a finite state space is reversible. The test statistics are based on observed deviations of transition sample counts between each pair of states in the chain. First, the joint asymptotic normality of these sample counts is established. This result is then used to construct two chi-squared-based tests for reversibility. Simulations assess the power and type one error of the proposed tests.

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Kämpke, T. "Reversibility and equivalence in directed markov fields." Mathematical and Computer Modelling 23, no. 3 (February 1996): 87–101. http://dx.doi.org/10.1016/0895-7177(95)00235-9.

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Ge, Hao, Da-Quan Jiang, and Min Qian. "Reversibility and entropy production of inhomogeneous Markov chains." Journal of Applied Probability 43, no. 04 (December 2006): 1028–43. http://dx.doi.org/10.1017/s0021900200002400.

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In this paper we introduce the concepts of instantaneous reversibility and instantaneous entropy production rate for inhomogeneous Markov chains with denumerable state spaces. The following statements are proved to be equivalent: the inhomogeneous Markov chain is instantaneously reversible; it is in detailed balance; its entropy production rate vanishes. In particular, for a time-periodic birth-death chain, which can be regarded as a simple version of a physical model (Brownian motors), we prove that its rotation number is 0 when it is instantaneously reversible or periodically reversible. Hence, in our model of Markov chains, the directed transport phenomenon of Brownian motors can occur only in nonequilibrium and irreversible systems.

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Ge, Hao, Da-Quan Jiang, and Min Qian. "Reversibility and entropy production of inhomogeneous Markov chains." Journal of Applied Probability 43, no. 4 (December 2006): 1028–43. http://dx.doi.org/10.1239/jap/1165505205.

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In this paper we introduce the concepts of instantaneous reversibility and instantaneous entropy production rate for inhomogeneous Markov chains with denumerable state spaces. The following statements are proved to be equivalent: the inhomogeneous Markov chain is instantaneously reversible; it is in detailed balance; its entropy production rate vanishes. In particular, for a time-periodic birth-death chain, which can be regarded as a simple version of a physical model (Brownian motors), we prove that its rotation number is 0 when it is instantaneously reversible or periodically reversible. Hence, in our model of Markov chains, the directed transport phenomenon of Brownian motors can occur only in nonequilibrium and irreversible systems.

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Tetali, Prasad. "An Extension of Foster's Network Theorem." Combinatorics, Probability and Computing 3, no. 3 (September 1994): 421–27. http://dx.doi.org/10.1017/s0963548300001309.

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Consider an electrical network onnnodes with resistorsrijbetween nodesiandj. LetRijdenote theeffective resistancebetween the nodes. Then Foster's Theorem [5] asserts thatwherei∼jdenotesiandjare connected by a finiterij. In [10] this theorem is proved by making use of random walks. The classical connection between electrical networks and reversible random walks implies a corresponding statement for reversible Markov chains. In this paper we prove an elementary identity for ergodic Markov chains, and show that this yields Foster's theorem when the chain is time-reversible.We also prove a generalization of aresistive inverseidentity. This identity was known for resistive networks, but we prove a more general identity for ergodic Markov chains. We show that time-reversibility, once again, yields the known identity. Among other results, this identity also yields an alternative characterization of reversibility of Markov chains (see Remarks 1 and 2 below). This characterization, when interpreted in terms of electrical currents, implies thereciprocity theoremin single-source resistive networks, thus allowing us to establish the equivalence ofreversibilityin Markov chains andreciprocityin electrical networks.

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Serfozo, Richard F. "Reversible Markov processes on general spaces and spatial migration processes." Advances in Applied Probability 37, no. 03 (September 2005): 801–18. http://dx.doi.org/10.1017/s0001867800000483.

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In this study, we characterize the equilibrium behavior of spatial migration processes that represent population migrations, or birth-death processes, in general spaces. These processes are reversible Markov jump processes on measure spaces. As a precursor, we present fundamental properties of reversible Markov jump processes on general spaces. A major result is a canonical formula for the stationary distribution of a reversible process. This involves the characterization of two-way communication in transitions, using certain Radon-Nikodým derivatives. Other results concern a Kolmogorov criterion for reversibility, time reversibility, and several methods of constructing or identifying reversible processes.

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Serfozo, Richard F. "Reversible Markov processes on general spaces and spatial migration processes." Advances in Applied Probability 37, no. 3 (September 2005): 801–18. http://dx.doi.org/10.1239/aap/1127483748.

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In this study, we characterize the equilibrium behavior of spatial migration processes that represent population migrations, or birth-death processes, in general spaces. These processes are reversible Markov jump processes on measure spaces. As a precursor, we present fundamental properties of reversible Markov jump processes on general spaces. A major result is a canonical formula for the stationary distribution of a reversible process. This involves the characterization of two-way communication in transitions, using certain Radon-Nikodým derivatives. Other results concern a Kolmogorov criterion for reversibility, time reversibility, and several methods of constructing or identifying reversible processes.

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More sources

Dissertations / Theses on the topic "Markov reversibility"

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Zhang, Xiaojing. "A simulation study of confidence intervals for the transition matrix of a reversible Markov chain." Kansas State University, 2016. http://hdl.handle.net/2097/32737.

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Lindén, Martin. "Stochastic modeling of motor proteins." Doctoral thesis, KTH, Teoretisk fysik, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-4664.

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Motor proteins are microscopic biological machines that convert chemical energy into mechanical motion and work. They power a diverse range of biological processes, for example the swimming and crawling motion of bacteria, intracellular transport, and muscle contraction. Understanding the physical basis of these processes is interesting in its own right, but also has an interesting potential for applications in medicine and nanotechnology. The ongoing rapid developments in single molecule experimental techniques make it possible to probe these systems on the single molecule level, with increasing temporal and spatial resolution. The work presented in this thesis is concerned with physical modeling of motor proteins on the molecular scale, and with theoretical challenges in the interpretation of single molecule experiments. First, we have investigated how a small groups of elastically coupled motors collaborate, or fail to do so, when producing strong forces. Using a simple model inspired by the motor protein PilT, we ﬁnd that the motors counteract each other if the density becomes higher than a certain threshold, which depends on the asymmetry of the system. Second, we have contributed to the interpretation of experiments in which the stepwise motion of a motor protein is followed in real time. Such data is naturally interpreted in terms of ﬁrst passage processes. Our main conclusions are (1) Contrary to some earlier suggestions, the stepping events do not correspond to the cycle completion events associated with the work of Hill and co-workers. We have given a correct formulation. (2) Simple kinetic models predict a generic mechanism that gives rise to correlations in step directions and waiting times. Analysis of stepping data from a chimaeric ﬂagellar motor was consistent with this prediction. (3) In the special case of a reversible motor, the chemical driving force can be extracted from statistical analysis of stepping trajectories.
QC 20100820

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Boyer, Alexandre. "Bidimensional stationarity of random models in the plane." Thesis, université Paris-Saclay, 2022. http://www.theses.fr/2022UPASM011.

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Dans le cadre de cette thèse,trois modèles ont été étudiés indépendamment. Ils ont en commun d’être des modèles aléatoires définis dans le plan et possédant une propriété de stationnarité bidimensionnelle. Le premier est le modèle de Hammersley stationnaire dans le quart de plan, introduit et étudié par Cator et Groeneboom.Nous présentons ici une preuve probabiliste des fluctuations gaussiennes dans le cas non critique. Le deuxième modèle peut être vu comme une version stationnaire du problème d’O’Connell-Yor. La preuve de sa stationnarité est obtenue en introduisant une discrétisation de ce modèle dont nous montrons la stationnarité, puis en observant que cette stationnarité est préservée à la limite. Enfin,le troisième modèle est une classe généralede systèmes aléatoires de lignes brisées dansle quart de plan, dont on montre la réversibilité. Cette classe contient de nombreux processus classiques comme des modèles de percolation de dernier passage. La nouveauté ici est qu’un poids est associé à chaque ligne
In this PhD thesis, three models have been independently studied. They all have in common to be random models defined in the plane and having a two-dimensional stationarity property. The first one is Hammersley’s stationary model in the quarter plane, introduced and studied by Cator and Groeneboom. We present here a probablistic proof the Gaussian fluctuations in the non-critical case. The second model can be seen as a stationary modification ofO’Connell-Yor’s problem. The proof of its stationarity is obtained by introducing a discretisation of this model, by proving its stationairty and then by observing that this stationarity is preserved in the limit. Finally, the third model is a general class of random systems of horizontal and vertical weighted broken lines on the quarter plane whose distribution are proved to be reversible. This class of systems generalizes several classical processes of the same kind. The noveltycomes here from the introduction of a weight associated with each line

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Gannon, Mark Andrew. "Passeios aleatórios em redes finitas e infinitas de filas." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-16102017-154842/.

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Um conjunto de modelos compostos de redes de filas em grades finitas servindo como ambientes aleatorios para um ou mais passeios aleatorios, que por sua vez podem afetar o comportamento das filas, e desenvolvido. Duas formas de interacao entre os passeios aleatorios sao consideradas. Para cada modelo, e provado que o processo Markoviano correspondente e recorrente positivo e reversivel. As equacoes de balanceamento detalhado sao analisadas para obter a forma funcional da medida invariante de cada modelo. Em todos os modelos analisados neste trabalho, a medida invariante em uma grade finita tem forma produto. Modelos de redes de filas como ambientes para multiplos passeios aleatorios sao estendidos a grades infinitas. Para cada modelo estendido, sao especificadas as condicoes para a existencia do processo estocastico na grade infinita. Alem disso, e provado que existe uma unica medida invariante na rede infinita cuja projecao em uma subgrade finita e dada pela medida correspondente de uma rede finita. Finalmente, e provado que essa medida invariante na rede infinita e reversivel.
A set of models composed of queueing networks serving as random environments for one or more random walks, which themselves can affect the behavior of the queues, is developed. Two forms of interaction between the random walkers are considered. For each model, it is proved that the corresponding Markov process is positive recurrent and reversible. The detailed balance equa- tions are analyzed to obtain the functional form of the invariant measure of each model. In all the models analyzed in the present work, the invariant measure on a finite lattice has product form. Models of queueing networks as environments for multiple random walks are extended to infinite lattices. For each model extended, the conditions for the existence of the stochastic process on the infinite lattice are specified. In addition, it is proved that there exists a unique invariant measure on the infinite network whose projection on a finite sublattice is given by the corresponding finite- network measure. Finally, it is proved that that invariant measure on the infinite lattice is reversible.

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Iannuzzi, Alessandra. "Catene di Markov reversibili e applicazioni al metodo Montecarlo basato sulle catene di Markov." Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2015. http://amslaurea.unibo.it/9010/.

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Gli argomenti trattati in questa tesi sono le catene di Markov reversibili e alcune applicazioni al metodo Montecarlo basato sulle catene di Markov. Inizialmente vengono descritte alcune delle proprietà fondamentali delle catene di Markov e in particolare delle catene di Markov reversibili. In seguito viene descritto il metodo Montecarlo basato sulle catene di Markov, il quale attraverso la simulazione di catene di Markov cerca di stimare la distribuzione di una variabile casuale o di un vettore di variabili casuali con una certa distribuzione di probabilità. La parte finale è dedicata ad un esempio in cui utilizzando Matlab sono evidenziati alcuni aspetti studiati nel corso della tesi.

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Sim, Hee Jung. "Strategic capacity investment with partial reversibility under uncertain economic condition and oligopolistic competition." Diss., Available online, Georgia Institute of Technology, 2005, 2005. http://etd.gatech.edu/theses/available/etd-01142005-000021/unrestricted/sim%5Fheejung%5F200505%5Fphd.pdf.

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Thesis (Ph. D.)--Industrial and Systems Engineering, Georgia Institute of Technology, 2005.
Sokol, Joel, Committee Member ; Wang, Qiong, Committee Member ; Kertz, Robert, Committee Member ; Griffin, Paul, Committee Member ; Deng, Shijie, Committee Chair. Includes bibliographical references.

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Máslo, Lukáš. "Determinismus, path-dependence a nejistota pohledem postkeynesovské ekonomie." Doctoral thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-203720.

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The thesis deals with analysis of conceptual-methodological issues examined in the framework of post-keynesian economics. The author´s goal is to supply a solution to the problem of a definition of determinism/non-determinism for both deterministic and stochastic systems and also to the problem of the prevailing confusion which surrounds the notion of reversibility/irreversibility in both path-dependent and traditional-equilibrist systems. The author regards the determinism/non-determinism problem as essentially linked to the problem of a definition of fundamental uncertainty. The key issues are being identified in the "problem of a generator of endogenous shocks" and the "selection - creation problem". Finding solutions to these enables us to take a stand on the validity/invalidity of the classical dichotomy, in the eyes of the author. Davidson´s interpretation of ergodicity and O´Donnell´s critique of this are being presented and, drawing on the latter, along with Álvarez-Ehnts´ critique, the author rejects a simplifying pattern of Davidson´s, according to which neoclassical economics is based on the ergodic axiom. The author suggests a solution to the "selection - creation problem" consisting in distinguishing epistemological determinism from ontological determinism on the one hand, and epistemological determinism from epistemological non-determinism on the other hand. While selection is a characteristic feature of epistemological determinism and, in effect, the realm of "fundamental certainty", creation is referred to by the author as a characteristic feature of epistemological non-determinism, i. e., in effect, the realm of fundamental uncertainty. The author regards the "problem of a generator of endogenous shocks" a self-contradictory notion, based on the principle of causality and the law of non-contradiction, and suggests a solution to the problem consisting in rejection of the concept of shock endogeneity. At the same time, the author rejects Davidson´s "fundamental neoclassical article of faith" rhetoric, based on the first cause argument implied by the principle of causality. In opposition to Davidson, the author regards fundamental uncertainty being of a basically epistemological nature, consisting in our ignorance of the "ultimate law of change", the "Devine formula". Unlike O´Donnell, however, who puts stress on the element of epistemological uncertainty in his epistemological approach to uncertainty, the author also puts stress on the element of ontological certainty, consisting in our knowledge of the existence of the "Devine formula", apart from our epistemological uncertainty.

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Navarro, Marcelo de Carvalho. "Testing reversibility for multivariate Markov processes /." 1999. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:9934100.

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Book chapters on the topic "Markov reversibility"

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"Reversibility and Irreversibility, Liouville and Markov Equations." In Statistical Thermodynamics and Stochastic Theory of Nonequilibrium Systems, 57–82. WORLD SCIENTIFIC, 2005. http://dx.doi.org/10.1142/9789812386625_0003.

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"The entropy production and reversibility of Markov processes." In Probability Theory and Applications, 307–16. De Gruyter, 1987. http://dx.doi.org/10.1515/9783112314227-040.

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"On the reversibility of Markov scanning in free-viewing." In Visual Search 2, 137–50. CRC Press, 1993. http://dx.doi.org/10.1201/9781482272352-14.

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Conference papers on the topic "Markov reversibility"

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Vempilly, Jose, B. Abejie, Ali Rashidian, Vipul Jain, and Tim Tyner. "Is residual volume reversibility a better marker than FEV1 reversibility in diagnosing reversible airway disease in asthma?" In ERS International Congress 2017 abstracts. European Respiratory Society, 2017. http://dx.doi.org/10.1183/1393003.congress-2017.oa3215.

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Riley, S., R. Al-Lehebi, S. Gurupatham, E. Grbac, and M. B. Stanbrook. "Blood Eosinophil Counts in Patients with Marked FEV1 Reversibility and Fixed Airflow Obstruction." In American Thoracic Society 2019 International Conference, May 17-22, 2019 - Dallas, TX. American Thoracic Society, 2019. http://dx.doi.org/10.1164/ajrccm-conference.2019.199.1_meetingabstracts.a1586.

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