A discrete-time version of the Wentzell-Freidlin theory (Q2639405): Difference between revisions

A version of the Wentzell-Freidlin theory for random perturbations of Markov chains is presented. Asymptotic behavior (as the perturbation tends to zero) of invariant measures of the Markov chain is studied; the distribution of exit points of the Markov chain from a bounded domain is analyzed; the eigenvalue problem is discussed. The method is applicable to random perturbation of degenerate diffusions even when the large deviation principle fails.