A coupling technique for stochastic comparison of functions of Markov processes
The basic framework is two continuous-time Markov jump processes with (countable) state spaces \(E\) and \(F\) and functions \(\varphi\) and \(\psi\) from these into an ordered set \(G\). This is a natural generalization of the situation when each state has an associated cost (which defines a function from the state space to the nonnegative reals). The ordering on \(G\) allows a stochastic comparison of the two Markov processes to be defined; roughly, this is that, on \(G\), one process is below the other in distribution. Such a relationship between processes turns out to be equivalent to the existence of a suitable coupling Markov process with values in \(E \times F\). Explicit conditions, in terms of transition rates, for this coupling to exist are given. An example from reliability illustrates the usefulness of the results.
- On a Comparison Result for Markov Processes
- Stochastic domination and Markovian couplings
- Comparison of Markov processes via infinitesimal generators
- Stochastic Comparisons for Non-Markov Processes
- Existence and application of optimal Markovian coupling with respect to non-negative lower semi-continuous functions
- A kind of dual form for coupling from the past algorithm, to sample from Markov chain steady-state probability
- Stochastic domination and Markovian couplings
- Comparison of time-inhomogeneous Markov processes
- Probabilistic Analysis of Online Bin Coloring Algorithms Via Stochastic Comparison
- Stochastic Comparisons for Non-Markov Processes
- scientific article; zbMATH DE number 926727 (Why is no real title available?)
- An algorithm approach to bounding aggregations of multidimensional Markov chains
- Stochastic relations of random variables and processes
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