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Superposition of interacting aggregated continuous-time Markov chains

Ball, F., Milne, R.K., Tame, I.D. and Yeo, G.F. (1997) Superposition of interacting aggregated continuous-time Markov chains. Advances in Applied Probability, 29 (1). pp. 56-91.


Consider a system of interacting finite Markov chains in continuous time, where each subsystem is aggregated by a common partitioning of the state space. The interaction is assumed to arise from dependence of some of the transition rates for a given subsystem at a specified time on the states of the other subsystems at that time. With two subsystem classes, labelled 0 and 1, the superposition process arising from a system counts the number of subsystems in the latter class. Key structure and results from the theory of aggregated Markov processes are summarized. These are then applied also to superposition processes. In particular, we consider invariant distributions for the level m entry process, marginal and joint distributions for sojourn-times of the superposition process at its various levels, and moments and correlation functions associated with these distributions. The distributions are obtained mainly by using matrix methods, though an approach based on point process methods and conditional probability arguments is outlined. Conditions under which an interacting aggregated Markov chain is reversible are established. The ideas are illustrated with simple examples for which numerical results are obtained using Matlab. Motivation for this study has come from stochastic modelling of the behaviour of ion channels; another application is in reliability modelling.

Item Type: Journal Article
Murdoch Affiliation(s): School of Mathematical and Physical Sciences
Publisher: University of Sheffield
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