Perturbation analysis of inhomogeneous finite Markov chains

DOI10.1017/APR.2015.16MaRDI QIDQ2806356zbMATH OpenOpenAlexWikidataFDO

Authors Haralambie Leahu, Andreas Löpker, Bernd Heidergott, Georg Ch. Pflug

Publication date 17 May 2016

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

Full work available at URL https://projecteuclid.org/euclid.aap/1457466165

zbMATH Keywords

gradient estimatorsinfinitesimal generatorinhomogeneous finite Markov processessensitivity analysis

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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Cited in

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• Sensitivity analysis of stationary performance measures for Markov chains
• A perturbation analysis of Markov chains models with time-varying parameters
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