Approximating a diffusion by a finite-state hidden Markov model

DOI10.1016/J.SPA.2016.11.004zbMATH Open1373.60132arXiv0906.0259OpenAlexW2560266776MaRDI QIDQ2360239FDOQ2360239

Authors: Ioannis Kontoyiannis, Sean P. Meyn 

Publication date: 30 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: For a wide class of continuous-time Markov processes, including all irreducible hypoelliptic diffusions evolving on an open, connected subset of $R{L}^d$, the following are shown to be equivalent: (i) The process satisfies (a slightly weaker version of) the classical Donsker-Varadhan conditions; (ii) The transition semigroup of the process can be approximated by a finite-state hidden Markov model, in a strong sense in terms of an associated operator norm; (iii) The resolvent kernel of the process is `$v$-separable', that is, it can be approximated arbitrarily well in operator norm by finite-rank kernels. Under any (hence all) of the above conditions, the Markov process is shown to have a purely discrete spectrum on a naturally associated weighted $L_{i}nfty$ space.

Full work available at URL: https://arxiv.org/abs/0906.0259

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zbMATH Keywords

hidden Markov modelMarkov processdiscrete spectrumhypoelliptic diffusionstochastic Lyapunov function

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35)

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Cited In (3)

• Approximations for the distribution of perpetuities with small discount rates
• Approximation of stationary processes by hidden Markov models
• Geometric ergodicity in a weighted Sobolev space

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