Markov chains and stochastic stability
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(only showing first 100 items - show all)- Estimating the multivariate extremal index function
- Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
- Exponential ergodicity of the solutions to SDE's with a jump noise
- Properties of some statistics for AR-ARCH model with application to technical analysis
- Perturbation analysis of an \(M/M/1\) queue in a diffusion random environment
- On the use of stochastic approximation Monte Carlo for Monte Carlo integration
- On ergodic and mixing properties of the triangle map
- Learning near-optimal policies with Bellman-residual minimization based fitted policy iteration and a single sample path
- Adaptive independent Metropolis-Hastings
- Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes
- Perfect simulation for marked point processes
- Markov chains: ergodicity in time-discrete cases
- A Hoeffding inequality for Markov chains using a generalized inverse
- Branching Markov processes and related asymptotics
- Observer-based networked control for continuous-time systems with random sensor delays
- Robust \(H_{\infty }\)control with maximal decay rate for linear discrete-time stochastic systems
- Variance estimation in the central limit theorem for Markov chains
- Regularly varying multivariate time series
- Forgetting the initial distribution for hidden Markov models
- On universal transfer learning
- Integral equation solutions as prior distributions for Bayesian model selection
- Characterizations of overtaking optimality for controlled diffusion processes
- Learning from uniformly ergodic Markov chains
- Approximate regenerative-block bootstrap for Markov chains
- Micro-local analysis for the Metropolis algorithm
- Particle filtering with path sampling and an application to a bimodal ocean current model
- Zero-sum ergodic semi-Markov games with weakly continuous transition probabilities
- Exact asymptotics for the stationary distribution of a Markov chain: a production model
- Nearest neighbor conditional estimation for Harris recurrent Markov chains
- Polarity formation by a higher order interaction Markov-like chain
- Instability of FIFO in a simple queueing system with arbitrarily low loads
- On the stationary distribution of queue lengths in a multi-class priority queueing system with customer transfers
- Uniform time average consistency of Monte Carlo particle filters
- Asymptotically homogeneous iterated random functions with applications to the HARCH process
- State-dependent Foster-Lyapunov criteria for subgeometric convergence of Markov chains
- How hot can a heat bath get?
- The pseudo-marginal approach for efficient Monte Carlo computations
- Hastings-Metropolis algorithms and reference measures
- Evolving aspirations and cooperation
- Estimation for a class of positive nonlinear time series models
- Geometric convergence of the Metropolis-Hastings simulation algorithm
- Geometric ergodicity of Gibbs and block Gibbs samplers for a hierarchical random effects model
- On polynomial mixing bounds for stochastic differential equations
- Experimentation, imitation, and stochastic stability
- A strong approximation theorem for stochastic recursive algorithms
- Single sample path-based optimization of Markov chains
- Asymptotics of first passage times for random walk in an orthant
- On convergence rates of Gibbs samplers for uniform distributions
- Two convergence properties of hybrid samplers
- Ergodicity of dissipative differential equations subject to random impulses
- A note on the stationarity of a threshold first-order bilinear process
- Verifying irreducibility and continuity of a nonlinear time series
- Asymptotics of a class of \(p\)th-order nonlinear autoregressive processes
- A direct approach to conformational dynamics based on hybrid Monte Carlo
- Information bounds for Gibbs samplers
- Lyapunov functions for random walks and strings in random environment
- Large deviation lower bounds for arbitrary additive functionals of a Markov chain
- Topological conditions enabling use of Harris methods in discrete and continuous time
- Rates of convergence for everywhere-positive Markov chains
- Outperforming the Gibbs sampler empirical estimator for nearest-neighbor random fields
- A gambling system and a Markov chain
- The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
- Dam processes with state dependent batch sizes and intermittent production processes with state dependent rates
- Ergodic and light traffic properties of a complex repairable system
- On the role of Rouché's theorem in queueing analysis
- Approximation of average cost optimal policies for general Markov decision processes with unbounded costs
- A strategic market game with secured lending
- About the multidimensional competitive learning vector quantization algorithm with constant gain
- Invariant probabilities for Markov chains on a metric space
- Coupling with compensators
- Tails of passage-times and an application to stochastic processes with boundary reflection in wedges
- Numerical non-identifiability regions of the minimal model of glucose kinetics: Superiority of Bayesian estimation
- Aspiration adaptation in the ultimatum minigame.
- On optimal inventory control with independent stochastic item returns.
- SPRT and CUSUM in hidden Markov models
- Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks
- Nonexistence of a class of variate generation schemes.
- Irreducibility results and conservativity of the absolute difference chain
- On single versus multiple imputation for a class of stochastic algorithms estimating maximum likelihood
- Control of end-to-end delay tails in a multiclass network: LWDF discipline optimality
- Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
- Stability and instability of a two-station queueing network
- Phase transitions and metastability in Markovian and molecular systems
- Speed of stochastic locally contractive systems.
- Convergence of the Monte Carlo expectation maximization for curved exponential families.
- How often does a Harris recurrent Markov chain recur?
- Balanced partitions for Markov chains
- On geometric ergodicity of the MTAR process
- Importance sampling for families of distributions
- Genealogical processes for Fleming-Viot models with selection and recombination
- V-subgeometric ergodicity for a Hastings-Metropolis algorithm
- Invariant probability measures for a class of Feller Markov chains
- Random motions, classes of ergodic Markov chains and beta distributions
- Time and Palm stationarity of repairable systems
- On the use of Lyapunov methods in renewal theory
- Bounds on regeneration times and convergence rates for Markov chains
- Jump-diffusion Markov processes on orthogonal groups for object pose estimation
- Perfect sampling from independent Metropolis-Hastings chains
- Moment and probability inequalities for sums of bounded additive functionals of regular Markov chains via the Nummelin splitting technique
- Hoeffding's inequality for uniformly ergodic Markov chains
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