Stability of Markovian processes I: criteria for discrete-time Chains

DOI10.2307/1427479MaRDI QIDQ4014076zbMATH OpenOpenAlexFDO

Authors R. L. Tweedie, Sean P. Meyn

Publication date 4 October 1992

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

Full work available at URL https://semanticscholar.org/paper/005ce6a8630e94062d2096a09eeddce70db949ba

zbMATH Keywords

strong mixinglaw of the iterated logarithmpositive Harris recurrenceHarris recurrenceDynkin's formulastochastic Lyapunov functionsDoeblin decomposition

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stability theory for ordinary differential equations (34D99)

Recommendations

• Stability of Markovian processes II: continuous-time processes and sampled chains
• Foster-type criteria for Markov chains on general spaces
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• scientific article; zbMATH DE number 27013
• On some conditions of stability of Markov chains

Cited in

(only showing first 100 items - show all)

• Ergodic properties and ergodic decompositions of continuous-time Markov processes
• Ergodic properties of generalized Ornstein-Uhlenbeck processes
• A mathematical approach to order book modeling
• Birth and death processes in interactive random environments
• Stability of token passing rings
• Exponential ergodicity for SDEs under the total variation
• A subgeometric estimate of the stability for time-homogeneous Markov chains
• Asymptotic properties of jump-diffusion processes with state-dependent switching
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• MTTF and availability of semi-Markov missions with non-identical generally distributed component lifetimes
• Jump-diffusions with state-dependent switching: existence and uniqueness, Feller property, linearization, and uniform ergodicity
• Simulation studies of some Voronoi point processes
• Polling on a space with general arrival and service time distribution
• Necessary and sufficient conditions for non-singular invariant probability measures for Feller Markov chains
• Recurrence and transience criteria for two cases of stable-like Markov chains
• MARKOV CHAINS SATISFYING SIMPLE DRIFT CONDITIONS FOR SUBGEOMETRIC ERGODICITY
• Delay asymptotics and bounds for multitask parallel jobs
• A Liapounov bound for solutions of the Poisson equation
• The transition from ergodic to explosive behavior in a family of stochastic differential equations
• Drift conditions and invariant measures for Markov chains.
• Convergence of contrastive divergence algorithm in exponential family
• Design of stabilizing strategies for discrete-time dual switching linear systems
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• On the ergodic decomposition for a class of Markov chains
• Polynomial convergence rates of Markov chains
• A LINEAR PROGRAMMING APPROACH TO THE STEADY-STATE ANALYSIS OF REFLECTED BROWNIAN MOTION
• On the stability of diffusion processes with state-dependent switching
• Ergodicity and limit theorems for degenerate diffusions with time periodic drift. Application to a stochastic Hodgkin-Huxley model
• Epidemic SIS model in air-polluted environment
• Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
• Recurrence and ergodicity of switching diffusions with past-dependent switching having a countable state space
• Structural Laplace Transform and Compound Autoregressive Models
• Exponential ergodicity of the jump-diffusion CIR process
• Topological conditions enabling use of Harris methods in discrete and continuous time
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• Cluster based inference for extremes of time series
• Edgeworth expansions of suitably normalized sample mean statistics for atomic Markov chains
• Criteria for ergodicity of Lévy type operators in dimension one
• Wavelet linear density estimator for a discrete-time stochastic process: \(L_ p\)-losses
• A note on a simple Markov bilinear stochastic process
• A general theory of coexistence and extinction for stochastic ecological communities
• Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching
• scientific article; zbMATH DE number 37797 (Why is no real title available?)
• Recurrence relations for generalized hitting times for semi-Markov processes
• scientific article; zbMATH DE number 475324 (Why is no real title available?)
• Nested stochastic simulation algorithms for chemical kinetic systems with multiple time scales
• GEOMETRIC ERGODICITY OF A DOUBLY STOCHASTIC TIME SERIES MODEL
• Strong convergence rate of principle of averaging for jump-diffusion processes
• Stability of Markovian processes II: continuous-time processes and sampled chains
• On geometric and algebraic transience for discrete-time Markov chains
• On some conditions of stability of Markov chains
• A sufficient condition for the existence of an invariant probability measure for Markov processes
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Stochastic Liénard equations with state-dependent switching
• Coexistence and extinction for stochastic Kolmogorov systems
• Singular behavior of the leading Lyapunov exponent of a product of random \({2 \times 2}\) matrices
• Ergodicity of one-dimensional regime-switching diffusion processes
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Strong stability and perturbation bounds for discrete Markov chains
• Stationarity and ergodicity for an affine two-factor model
• T. E. Harris's contributions to recurrent Markov processes and stochastic flows
• Feller property and exponential ergodicity of diffusion processes with state-dependent switching
• On the stability of jump-diffusions with Markovian switching
• Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
• On the stability of open networks: A unified approach by stochastic dominance
• SMALL AND PSEUDO-SMALL SETS FOR MARKOV CHAINS
• Geometric ergodicity of affine processes on cones
• Ergodicity for a stochastic Hodgkin-Huxley model driven by Ornstein-Uhlenbeck type input
• Threshold dynamics and ergodicity of an SIRS epidemic model with Markovian switching
• The vanishing discount approach for the average continuous control of piecewise deterministic Markov processes
• Stability of piecewise deterministic Markovian metapopulation processes on networks
• Quantitative Harris-type theorems for diffusions and McKean-Vlasov processes
• Third-order asymptotic expansion of \(M\)-estimators for diffusion processes
• State-dependent criteria for convergence of Markov chains
• Exponential ergodicity of an affine two-factor model based on the α-root process
• Multivariate self-exciting jump processes with applications to financial data
• The role of noise in finite ensembles of nanomagnetic particles
• Efficient stochastic optimisation by unadjusted Langevin Monte Carlo. Application to maximum marginal likelihood and empirical Bayesian estimation
• The Euler-Maruyama approximation of state-dependent regime switching diffusions
• Inverse problems for ergodicity of Markov chains
• On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes
• Nonzero-Sum Expected Average Discrete-Time Stochastic Games: The Case of Uncountable Spaces
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• Strong stochastic persistence of some Lévy-driven Lotka-Volterra systems
• Strict Kantorovich contractions for Markov chains and Euler schemes with general noise
• On subexponential convergence to equilibrium of Markov processes
• The numerical invariant measure of stochastic differential equations with Markovian switching
• When control and state variations increase uncertainty: modeling and stochastic control in discrete time
• On Foster-Lyapunov criteria for exponential ergodicity of regime-switching jump diffusion processes with countable regimes
• Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables
• The Efficient Covariate-Adaptive Design for high-order balancing of quantitative and qualitative covariates
• scientific article; zbMATH DE number 1408895 (Why is no real title available?)
• Harris-type results on geometric and subgeometric convergence to equilibrium for stochastic semigroups
• Small time central limit theorems for semimartingales with applications
• Stochastic persistence in degenerate stochastic Lotka-Volterra food chains
• Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
• Criteria for geometric and algebraic transience for discrete-time Markov chains
• Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation

This page was built for publication: Stability of Markovian processes I: criteria for discrete-time Chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4014076)