Journée Richard Tweedie

Institut Henri Poincaré, Paris, 28 Janvier 2002

Serguei Foss

Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, Scotland

`On celebrated Tweedie's results in Markov chains'

We speak about the most remarkable Richard' Tweedies results:
criteria for positive recurrence, T-processes, geometric ergodicity.

In the second half of the talk, consider a time-homogeneous Markov chain
on non-negative integers which satisfies certain monotone properties outside of
a finite set. We propose a new algorithm for simulation of a
stationary distribution. The work was stimulated by discussions
with Richard Tweedie in Nov 98.