Estimates for the deviations of the transition characteristics of nonhomogeneous Markov processes (Q923508): Difference between revisions

Let \(x^{(i)}(t)\), \(t\geq 0\), \(i=1,2\), be two nonbreaking Markov processes with values in some measurable space (X,\({\mathcal B}_ X)\) and transition probabilities \(p^{(i)}(t,x,s,A)\), \(x\in X\), \(A\in {\mathcal B}_ X\), \(t\leq s\). Put \[ \phi^{(i)}(t,s)=\sup \{| p^{(i)}(t,x_ 1,s,A)-p^{(i)}(t,x_ 2,s,A)|:\;x_ 1,x_ 2\in X,\quad A\in {\mathcal B}_ X\}, \] \[ \psi^{(1,2)}(t,s)=\sup_{x,A}| p^{(1)}(t,x,s,A)-p^{(2)}(t,x,s,A)|. \] Some properties of the functions \(\phi^{(i)}(t,s)\) and \(\psi^{(1,2)}(t,s)\) are proved. So if for some \(\tau >0\) and \(0<q_ 1<1\), \[ (1)\quad \sup_{t\geq 0}\phi^{(1)}(t,t+\tau)\leq q_ 1 \] and \[ \sup_{t\geq 0}\sup_{A}| p^{(1)}(t,x,t+\tau,A)-p^{(2)}(t,x,t+\tau,A)| \leq \alpha, \] then for any \(t<s\), \[ \phi^{(2)}(t,s)\leq (q_ 1+2\alpha)^{[\tau^{-1}(s-t)]}; \] also if (1) holds and \[ \sup_{t\geq 0}\sup_{u\leq \tau}\psi^{(1,2)}(t,t+u)\leq \alpha, \] then for any \(t<s\), \[ \psi^{(1,2)}(t,s)\leq \alpha (1-q_ 1)^{-1}(1-q_ 1^{[\tau^{-1}(s-t)]+1}). \] These results are applied for the construction of the explicit estimates of the approximation of the distribution of the moment of first exit of the subset of state of the nonhomogeneous Markov process by the generalized exponential distribution.