Perturbed Markov chains

DOI10.1239/JAP/1044476830MaRDI QIDQ4408538zbMATH OpenOpenAlexFDO

Authors Eilon Solan, Nicolas Vieille

Publication date 7 December 2003

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0306248

zbMATH Keywords

conductanceexit distributionMarkov chainsperturbation theorysensitivity analysisstability of a Markov chainstationary distribution

Mathematics Subject Classification ID

Large deviations (60F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: We study irreducible time-homogenous Markov chains with finite state space in discrete time. We obtain results on the sensitivity of the stationary distribution and other statistical quantities with respect to perturbations of the transition matrix. We define a new closeness relation between transition matrices, and use graph-theoretic techniques, in contrast with the matrix analysis techniques previously used.

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(24)

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• Sensitivity to perturbation of the stationary distribution: Some refinements
• Cluster expansion for locally interacting Markov chains
• Applications of Paz's inequality to perturbation bounds for Markov chains
• Markov chain sensitivity measured by mean first passage times
• Perturbation analysis for stationary distributions of Markov chains with damping component
• A perturbation analysis of Markov chains models with time-varying parameters
• Sensitivity of the stationary distributions of denumerable Markov chains
• Perturbed Markov chains with damping component
• Approximating a sequence of observations by a simple process
• A note on two-person zero-sum communicating stochastic games
• Mixing times with applications to perturbed Markov chains
• Stationary distributions and mean first passage times of perturbed Markov chains
• The computation of key properties of Markov chains via perturbations
• Noisy fluctuating clocks for Markov chains
• scientific article; zbMATH DE number 7446610 (Why is no real title available?)
• Perturbation of Markov Chains
• Perturbation of the stationary distribution measured by ergodicity coefficients
• Stable states of perturbed Markov chains
• Conditioning properties of the stationary distribution for a Markov chain
• On perturbation bounds for the joint stationary distribution of multivariate Markov chain models.
• Sensitivity and convergence of uniformly ergodic Markov chains
• Chutes and ladders in Markov chains
• Computing uniformly optimal strategies in two-player stochastic games

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