On Kemeny's Constant for Markov Processes

Abstract: The mean time taken by an irreducible Markov chain on a finite state space to hit a target chosen at random according to the stationary distribution does not depend on the initial state of the chain. This mean time is known as Kemeny's constant. I present a new approach, based on time reversal and a mean occupation time formula. The method is used to prove a similar result for continuous-time Markov processes. In this generality, the constancy holds only almost surely with respect to the stationary distribution of the process, but with extra effort the exceptional set can be made to disappear in certain situations. Some examples are provided.