A Pointwise Ergodic Theorem for Imprecise Markov Chains

被引：0

作者：

de Cooman, Gert ^{[1
]}

De Bock, Jasper ^{[1
]}

Lopatatzidis, Stavros ^{[1
]}

机构：

[1] Univ Ghent, SYST Res Grp, Ghent, Belgium

来源：

PROCEEDINGS OF THE 9TH INTERNATIONAL SYMPOSIUM ON IMPRECISE PROBABILITY: THEORIES AND APPLICATIONS (ISIPTA '15) | 2015年

关键词：

Imprecise probabilities; lower expectation; pointwise ergodic theorem; imprecise Markov chain; game-theoretic probability; LOWER PREVISIONS; PROBABILITY;

D O I：

暂无

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：

We prove a game-theoretic version of the strong law of large numbers for submartingale differences, and use this to derive a pointwise ergodic theorem for discrete-time Markov chains with finite state sets, when the transition probabilities are imprecise, in the sense that they are only known to belong to some convex closed set of probability measures.

引用

页码：107 / 115

页数：9

共 19 条

[1]

[Anonymous], 2002, Foundations of modern probability

[2]

Augustin T, 2014, WILEY SER PROBAB ST, P135

[3] Imprecise probability trees: Bridging two theories of imprecise probability [J].