Markov chains with replacement

Abstract

The following modification of a general state space discrete-time Markov chain is considered: certain transitions are supposed "forbidden" and the chain evolves until there is such a transition. At this instant the value of the chain is "replaced" according to a given rule, and, starting from the new value, the chain evolves normally until there is a forbidden transition again; the cycle is then repeated. The relationship of this modified process to the original one is studied in general terms, with particular emphasis being given to invariant measures. Examples are given which illustrate the results obtained. © 1975.