Stability estimates for finite homogeneous continuous-time Markov chains

被引：15

作者：

Mitrophanov, A. Yu. ^{[1
]}

机构：

[1] Saratov NG Chernyshevskii State Univ, Fac Math & Mech, Saratov 410012, Russia

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2006年 / 50卷 / 02期

关键词：

continuous-time Markov chain; stability estimates under perturbations; ergodicity coefficient; exponential convergence; spectral gap; strongly accessible state;

D O I：

10.1137/S0040585X97981718

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper obtains new stability estimates on infinite time interval and limit stability estimates for a finite homogeneous continuous-time Markov chain with a unique stationary distribution. The connection between the stability of the Markov chain under perturbation of the generator and the rate of convergence to stationarity is considered. Markov chains with a strongly accessible state are given special attention.

引用

页码：319 / 326

页数：8

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