Finite-State Time-Inhomogeneous Markov Chains Conditioned to Survive

Kohki Iba

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arXiv · 2610.38590

Finite-State Time-Inhomogeneous Markov Chains Conditioned to Survive

Kohki Iba

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Abstract

We study conditioning on long survival for time-inhomogeneous Markov chains on finite state spaces. We assume that a sequence of substochastic transition kernels converges to an irreducible substochastic kernel and that the transition probabilities admit asymptotic expansions up to order $n^{-2}$. Under these assumptions, we construct a positive space-time harmonic function and prove that the limiting path distributions under conditioning on long survival are given by the corresponding Doob h-transform. We also investigate the long-time behavior of the resulting conditioned process. Finally, we apply our general theory to an elephant random walk, a generalized Pólya urn model, time-inhomogeneous Wright--Fisher and Moran models, and noncolliding random walks.

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Kohki Iba. 2026-10-28. Finite-State Time-Inhomogeneous Markov Chains Conditioned to Survive. https://arxiv.org/abs/2610.38590

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