Approximating a diffusion by a finite-state hidden Markov model

DOI10.1016/J.SPA.2016.11.004MaRDI QIDQ2360239zbMATH OpenOpenAlexFDO

Authors Ioannis Kontoyiannis, Sean P. Meyn

Publication date 30 June 2017

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

Full work available at URL https://arxiv.org/abs/0906.0259, https://www.repository.cam.ac.uk/handle/1810/286768

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)

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.

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Cited in

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• Approximation of stationary processes by hidden Markov models

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