The ODE method for stability of skip-free Markov chains with applications to MCMC (Q2426609)
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| English | The ODE method for stability of skip-free Markov chains with applications to MCMC |
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The ODE method for stability of skip-free Markov chains with applications to MCMC (English)
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23 April 2008
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From the authors' abstract: General skip-free Markov chains are studied. A fluid approximation is obtained by scaling tine, space and the initial condition by a large constant. The resulting fluid limit is the solution of a special nonlinear autonomous ordinary differential equation. The results are illustrated through application to Markov chain Monte Carlo methods.
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Markov chain
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subgeometric ergodicity
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fluid limit
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skip-free chain
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