A decoupling principle for Markov-modulated chains

DOI10.1016/J.SPL.2021.109301MaRDI QIDQ2070600zbMATH OpenOpenAlexFDO

Authors Qinjing Qiu, Reiichiro Kawai

Publication date 24 January 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2021.109301

zbMATH Keywords

Markov modulationMarkov-modulated processesrandom environmentsregime switchingweak approximation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods in Markov chains (60J22) Applications of continuous-time Markov processes on discrete state spaces (60J28) Numerical analysis or methods applied to Markov chains (65C40)

Recommendations

• Weak convergence of Markov-modulated random sequences
• Stochastic systems arising from Markov modulated empirical measures
• Markov-modulated affine processes
• Moderate deviations for time-varying dynamic systems driven by non-homogeneous Markov chains with two-time scales
• Asymptotic properties of Markov-modulated random sequences with fast and slow timescales

Cites work

• A queue subject to extraneous phase changes
• Continuous-time hidden Markov models for network performance evaluation
• Continuous-time Markov chain and regime switching approximations with applications to options pricing
• Markov Processes with Homogeneous Second Component, II
• Markov-modulated queueing systems
• On the existence of finite-dimensional filters for Markov-modulated traffic
• Queuing Problems with Heterogeneous Arrivals and Service
• The Markov-modulated Poisson process (MMPP) cookbook

Cited in

(3)

• A cascade decomposition theory with applications to Markov and exchangeable cascades
• Iterative weak approximation and hard bounds for switching diffusion
• A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes

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• msm

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