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X: 14, 216-234, LNM 511 (1976)

**WILLIAMS, David**

The Q-matrix problem (Markov processes)

This paper completely solves the Q-matrix problem (find necessary and sufficient conditions for an infinite matrix $q_{ij}$ to be the pointwise derivative at $0$ of a transition matrix) in the case when all states are instantaneous. Though the statement of the problem and the two conditions given are elementary and simple, the proof uses sophisticated ``modern'' methods. The necessity of the conditions is proved using the Ray-Knight compactification method, the converse is a clever construction which is merely sketched

Comment: This paper crowns nearly 20 years of investigations of this problem by the English school. It contains a promise of a detailed proof which apparently was never published. See the section of Markov chains in Rogers-Williams*Diffusions, Markov Processes and Martingales,* vol. 1 (second edition), Wiley 1994. See also 1024

Keywords: Markov chains, Ray compactification, Local times, Excursions

Nature: Original

Retrieve article from Numdam

The Q-matrix problem (Markov processes)

This paper completely solves the Q-matrix problem (find necessary and sufficient conditions for an infinite matrix $q_{ij}$ to be the pointwise derivative at $0$ of a transition matrix) in the case when all states are instantaneous. Though the statement of the problem and the two conditions given are elementary and simple, the proof uses sophisticated ``modern'' methods. The necessity of the conditions is proved using the Ray-Knight compactification method, the converse is a clever construction which is merely sketched

Comment: This paper crowns nearly 20 years of investigations of this problem by the English school. It contains a promise of a detailed proof which apparently was never published. See the section of Markov chains in Rogers-Williams

Keywords: Markov chains, Ray compactification, Local times, Excursions

Nature: Original

Retrieve article from Numdam