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
收藏
页码：319 / 326
页数：8
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