Two-sided taboo limits for Markov processes and associated perfect simulation

@inproceedings{Glynna2000TwosidedTL,
  title={Two-sided taboo limits for Markov processes and associated perfect simulation},
  author={Peter W. Glynna and Hermann Thorissonb and Peter W. Glynn},
  year={2000}
}
In this paper, we study the two-sided taboo limit processes that arise when a Markov chain or process is conditioned on staying in some set A for a long period of time. The taboo limit is time-homogeneous after time 0 and time-inhomogeneous before time 0. The time-reversed limit has this same qualitative structure. The precise transition structure at the taboo limit is identi ed in the context of discreteand continuous-time Markov chains, as well as di usions. In addition, we present a perfect… CONTINUE READING