In
probability theory
Probability theory or probability calculus is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expre ...
, Kelly's lemma states that for a stationary
continuous-time Markov chain
A continuous-time Markov chain (CTMC) is a continuous stochastic process in which, for each state, the process will change state according to an exponential random variable and then move to a different state as specified by the probabilities of a ...
, a process defined as the time-reversed process has the same stationary distribution as the forward-time process.
The theorem is named after
Frank Kelly.
Statement
For a continuous time Markov chain with state space ''S'' and
transition-rate matrix ''Q'' (with elements ''q''
''ij'') if we can find a set of non-negative numbers ''q'
ij'' and a positive measure ''π'' that satisfy the following conditions:
::
then ''q
''ij'' are the rates for the reversed process and ''π'' is proportional to the stationary distribution for both processes.
Proof
Given the assumptions made on the ''q''
''ij'' and ''π'' we have
::
so the
global balance equations are satisfied and the measure ''π'' is proportional to the stationary distribution of the original process.
By symmetry, the same argument shows that ''π'' is also proportional to the stationary distribution of the reversed process.
References
{{Reflist
Markov processes
Queueing theory