Markov Chains and Stochastic Stability

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic stability in control theory (93E15)

Cited in

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Time series with infinite-order partial copula dependence
Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm
Weighted batch means estimators in Markov chain Monte Carlo
A new bivariate integer-valued GARCH model allowing for negative cross-correlation
Which ergodic averages have finite asymptotic variance?
Wealth and price distribution by diffusive approximation in a repeated prediction market
The strong Feller property for singular stochastic PDEs
Discrete one-dimensional coverage process on a renewal process
Exponential convergence rates of Markov chains under a weaken minorization condition
On the polynomial convergence rate to nonequilibrium steady states
Convergence and efficiency of adaptive importance sampling techniques with partial biasing
An empirical Bayes approach to identification of modules in dynamic networks
Random walks on binary strings applied to the somatic hypermutation of B-cells
Slow recurrent regimes for a class of one-dimensional stochastic growth models
Rigorous results for the Stigler-Luckock model for the evolution of an order book
Fast computation of stationary joint probability distribution of sparse Markov chains
Random iterations of homeomorphisms on the circle
On the existence and uniqueness of stationary equilibrium in Bewley economies with production
Stochastic optimal growth model with risk sensitive preferences
Stochastic stability of monotone economies in regenerative environments
Numerical simulation of polynomial-speed convergence phenomenon
A probabilistic approach to spectral analysis of growth-fragmentation equations
Asymptotic bias of stochastic gradient search
Elo ratings and the sports model: a neglected topic in applied probability?
Perturbation theory for Markov chains via Wasserstein distance
Analysis and optimization of resource control in high-speed railway wireless networks
Ancestral lineages and limit theorems for branching Markov chains in varying environment
Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues
How well do reduced models capture the dynamics in models of interacting neurons?
Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
Convergence rates for a class of estimators based on Stein's method
On the convergence of formally diverging neural net-based classifiers
Respondent-driven sampling and sparse graph convergence
Planning for the long run: programming with patient, Pareto responsive preferences
Illustrated review of convergence conditions of the value iteration algorithm and the rolling horizon procedure for average-cost MDPs
A note on bias and mean squared error in steady-state quantile estimation
Integral-type functionals of first hitting times for continuous-time Markov chains
Fluctuation theory for Markov random walks
Convergence of moments in a Markov-chain central limit theorem
Random logistic maps and Lyapunov exponents
Stochastic alternating projections
Geometric ergodicity and the spectral gap of non-reversible Markov chains
On long-term arbitrage opportunities in Markovian models of financial markets
On the exchange of intersection and supremum of \({\sigma}\)-fields in filtering theory
On the convergence of nonlinear Markov chains
Analytic approximations of queues with lightly- and heavily-correlated autoregressive service times
PAC-Bayesian estimation and prediction in sparse additive models
Join the shortest queue among \(k\) parallel queues: tail asymptotics of its stationary distribution
Stable limits for Markov chains via the principle of conditioning
Staircase patterns in words: subsequences, subwords, and separation number
On the rate of convergence to equilibrium for reflected Brownian motion
Irreducibility and geometric ergodicity of Hamiltonian Monte Carlo
The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
Feasible generalized least squares estimation of multivariate GARCH(1,1) models
A noise-induced transition in the Lorenz system
Stability of equilibrium asset pricing models: a necessary and sufficient condition
A continuous-time stochastic model of cell motion in the presence of a chemoattractant
Flexible bivariate Poisson integer-valued GARCH model
A note on jump Atlas models
Asymptotics of maximum likelihood estimators based on Markov chain Monte Carlo methods
Exponential forgetting of smoothing distributions for pairwise Markov models
Convergence to quasi-stationarity through Poincaré inequalities and Bakry-Émery criteria
General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
A Metropolis-class sampler for targets with non-convex support
Convergence of Markov chain transition probabilities
The random heat equation in dimensions three and higher: the homogenization viewpoint
Stochastic approximation cut algorithm for inference in modularized Bayesian models
Nonzero-sum risk-sensitive average stochastic games: The case of unbounded costs
On structural properties of optimal average cost functions in Markov decision processes with Borel spaces and universally measurable policies
Markov chain simulation for multilevel Monte Carlo
On the mean field limit of the random batch method for interacting particle systems
Empirical process theory for locally stationary processes
Mixing and hitting times for Gibbs samplers and other non-Feller processes
On convergence of random walks on moduli space
Regenerative properties of the linear Hawkes process with unbounded memory
Revisiting the Gelman-Rubin diagnostic
Criteria for geometric and algebraic transience for discrete-time Markov chains
Slowly varying asymptotics for signed stochastic difference equations
Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk
Regularity of models associated with Markov jump processes
Generating diffusions with fractional Brownian motion
Invariant measures for multidimensional fractional stochastic volatility models
Limit theorems for branching processes with immigration in a random environment
Fundamental design principles for reinforcement learning algorithms
State space collapse for multi-class queueing networks under SBP service policies
Economic MPC of Markov decision processes: dissipativity in undiscounted infinite-horizon optimal control
Convergence rates in uniform ergodicity by hitting times and \(L^2\)-exponential convergence rates
On the Hill relation and the mean reaction time for metastable processes
How does noise induce order?
Mixing time guarantees for unadjusted Hamiltonian Monte Carlo
Variational formulas for asymptotic variance of general discrete-time Markov chains
A new approach to Pólya urn schemes and its infinite color generalization
Wasserstein-based methods for convergence complexity analysis of MCMC with applications
Extremal linkage networks
Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
An adaptive multiple-try Metropolis algorithm
Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
Stability condition of a cascade system with a general number of stations
Convergence of constant step stochastic gradient descent for non-smooth non-convex functions
Stability-constrained Markov decision processes using MPC

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