A discrete-time version of the Wentzell-Freidlin theory (Q2639405): Difference between revisions
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Revision as of 18:55, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A discrete-time version of the Wentzell-Freidlin theory |
scientific article |
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A discrete-time version of the Wentzell-Freidlin theory (English)
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1990
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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.
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Wentzell-Freidlin theory for random perturbations
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invariant measures
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random perturbation of degenerate diffusions
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