Asymptotic behaviour of random Markov chains with tridiagonal generators

DOI10.1017/S0004972712000160zbMATH Open1268.34105arXiv1201.1999MaRDI QIDQ4909987FDOQ4909987

Authors: Victor Kozyakin, Peter E. Kloeden 

Publication date: 22 March 2013

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Abstract: Continuous-time discrete-state random Markov chains generated by a random linear differential equation with a random tridiagonal matrix are shown to have a random attractor consisting of singleton subsets, essentially a random path, in the simplex of probability vectors. The proof uses comparison theorems for Carath'eodory random differential equations and the fact that the linear cocycle generated by the Markov chain is a uniformly contractive mapping of the positive cone into itself with respect to the the Hilbert projective metric. It does not involve probabilistic properties of the sample path and is thus equally valid in the nonautonomous deterministic context of Markov chains with, say, periodically varying transitions probabilities, in which case the attractor is a periodic path.

Full work available at URL: https://arxiv.org/abs/1201.1999

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zbMATH Keywords

random attractorsrandom differential equationsrandom Markov chainspositive conesuniformly contracting cocycles

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Positive matrices and their generalizations; cones of matrices (15B48) Stochastic matrices (15B51) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cited In (2)

• Nonautonomous Dynamical Systems in the Life Sciences
• Bet-hedging in stochastically switching environments

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