Uniform acceleration expansions for Markov chains with time-varying rates (Q1296718): Difference between revisions
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Revision as of 02:47, 10 February 2024
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English | Uniform acceleration expansions for Markov chains with time-varying rates |
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Uniform acceleration expansions for Markov chains with time-varying rates (English)
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7 June 2000
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For time-inhomogeneous Markov chains with finite state space and continuous time, uniform acceleration (UA) expansion is constructed. The UA expansion is a special case of asymptotic approximation with its first term equal to the pointwise stationary approximation. Using the UA expansion the authors prove results that can be treated as analogous to the stationarity and ergodicity properties of homogeneous in time chains. As an example, time-varying birth-death process is considered. The accuracy of the approximation is illustrated by numerical calculations for (time-varying) Erlang loss model.
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Markov chain
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asymptotic expansion
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birth-death model
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Poisson's equation
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pointwise stationary approximation
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