Asymptotic behaviour of random Markov chains with tridiagonal generators

DOI10.1017/S0004972712000160MaRDI QIDQ4909987zbMATH OpenFDO

Authors Victor Kozyakin, Peter E. Kloeden

Publication date 22 March 2013

Published in Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.1999

positive cones random attractors random differential equations random Markov chains uniformly contracting cocycles

Positive matrices and their generalizations; cones of matrices (15B48) Stochastic matrices (15B51) Random matrices (algebraic aspects) (15B52) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Random operators and equations (aspects of stochastic analysis) (60H25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: Continuous-time discrete-state random Markov chains generated by a random linear differential equation with a random tridiagonal matrix are shown to have a random attractor consisting of singleton subsets, essentially a random path, in the simplex of probability vectors. The proof uses comparison theorems for Carath'eodory random differential equations and the fact that the linear cocycle generated by the Markov chain is a uniformly contractive mapping of the positive cone into itself with respect to the the Hilbert projective metric. It does not involve probabilistic properties of the sample path and is thus equally valid in the nonautonomous deterministic context of Markov chains with, say, periodically varying transitions probabilities, in which case the attractor is a periodic path.

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