Metastable Markov chains (Q2417014)

Imagine several lakes in a forest which are connected to each other through thin strings of water. If you trace a particle moving among the lakes, you will probably observe the particle spending a considerable amount of time in one lake before being transported to another lake through one of the strings. In fact, the time spent through the string might be negligible compared to the time spent in one lake. Under this situation, you may prefer to see each lake as one state, and study the particle moving among the states. Suppose that it makes sense studying the particle in a larger time scale so that each lake is only a single state (also called a \textit{valley}) of a system, then one may say that there is \textit{metastability} in the original system. The present review article gives theoretical background to study this kind of phenomenon in the context of Markov chains. One first task is to provide a mathematical definition of the concept. It turns out that the theory of Markov chains together with the so-called martingale problem and the potential theory give a base to develop a theory about metastability. There are several examples that help to understand the theory, and there is also a well developed appendix that facilitates the reading.