Reduction of Markov chains with two-time-scale state transitions

DOI10.1080/17442508.2015.1036433MaRDI QIDQ2803413zbMATH OpenOpenAlexFDO

Authors Chen Jia

Publication date 4 May 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.2196

zbMATH Keywords

Markov processesapproximationsingular perturbationstime scaleslimit behaviourstate transitions

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Central limit and other weak theorems (60F05) Continuous-time Markov processes on discrete state spaces (60J27) Time-scale analysis and singular perturbations in control/observation systems (93C70)

Abstract: In this paper, we consider a general class of two-time-scale Markov chains whose transition rate matrix depends on a parameter $lambda>0$. We assume that some transition rates of the Markov chain will tend to infinity as $lambdaightarrowinfty$. We divide the state space of the Markov chain $X$ into a fast state space and a slow state space and define a reduced chain $Y$ on the slow state space. Our main result is that the distribution of the original chain $X$ will converge in total variation distance to that of the reduced chain $Y$ uniformly in time $t$ as $lambdaightarrowinfty$.

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Cited in

(16)

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• Analytical Time-Dependent Distributions for Gene Expression Models With Complex Promoter Switching Mechanisms
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• Using state reduction for computing steady state vectors in Markov chains of \(M/G/1\) type
• Simplification of irreversible Markov chains by removal of states with fast leaving rates
• Realization theory for two-time-scale distributions through approximation of Markov parameters
• Fast reactions with non-interacting species in stochastic reaction networks
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• Kinetic Foundation of the Zero-Inflated Negative Binomial Model for Single-Cell RNA Sequencing Data
• Two-Time-Scale Markov Chains and Applications to Quasi-Birth-Death Queues
• Martingale structure for general thermodynamic functionals of diffusion processes under second-order averaging

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