Asymptotic Behavior of Stochastic Systems Possessing Markovian Realizations

DOI10.1137/0329031zbMath0725.60070OpenAlexW2003252114MaRDI QIDQ5203450

Peter E. Caines, Sean P. Meyn

Publication date: 1991

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://escholarship.mcgill.ca/concern/theses/cv43nx675

zbMATH Keywords

accessibilitycontrollabilityergodic behaviorMarkovian stochastic systems

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Controllability (93B05) Stochastic stability in control theory (93E15) Stochastic systems in control theory (general) (93E03)

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Ergodicity conditions for nonlinear discrete time stochastic dynamical systems with Markovian noise ⋮ Existence of invariant densities for semiflows with jumps ⋮ Global linear convergence of evolution strategies with recombination on scaling-invariant functions ⋮ Verifiable conditions for the irreducibility and aperiodicity of Markov chains by analyzing underlying deterministic models ⋮ On stationarity and ergodicity of the bilinear model with applications to GARCH models ⋮ Chance-constrained controller state and reference governor ⋮ ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS

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