scientific article; zbMATH DE number 19247

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Publication:3976680





[For the entire collection see Zbl 0733.00019.] The purpose of this paper is to suggest an approach to evaluate transient behaviour of time homogeneous Markov chains that have large or infinite state spaces, and to provide bounds for these characteristics. The authors exploit the fact that the transient characteristics of a time- homogeneous Markov chain, which is ergodic or not, can often be computed via a transformed process that is ergodic. Aggregation can then be used to analyze this process if its state space is too large and is beyond the capabilities of classical numerical methods. The technique proposed here provides bounds on transient characteristics, such as the drift and the moments of the time before absorption; no specific structure is assumed for the Markov chain.











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