Derivatives of Markov Kernels and Their Jordan Decomposition

DOI10.1515/JAA.2008.13MaRDI QIDQ3527976zbMATH OpenOpenAlexFDO

Authors Arie Hordijk, Heinz Weisshaupt, Bernd Heidergott

Publication date 1 October 2008

Published in Journal of Applied Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jaa.2008.13

zbMATH Keywords

Jordan decompositionMarkov kernelsweak differentiation

Mathematics Subject Classification ID

Differentiation (real functions of one variable): general theory, generalized derivatives, mean value theorems (26A24) Abstract differentiation theory, differentiation of set functions (28A15) Kernel operators (47B34) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• A characterization of parallelepipeds related to weak derivatives
• A generalization of Lehmann's theorem on the comparison of uniform location experiments
• A measure-valued approach to convex set-valued dynamics
• A weak derivative approach to optimization of threshold parameters in a multicomponent maintenance system
• Measure-Valued Differentiation for Stationary Markov Chains
• Option pricing via Monte Carlo simulation. A weak derivative approach
• Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design

Cited in

(5)

• Measure-valued differentiation for Markov chains
• Taylor series expansions for stationary Markov chains
• Gradient estimation for smooth stopping criteria
• On the differentiability of parametrized families of linear operators and the sensitivity of their stationary vectors
• IPA for stationary problems

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