Blackwell spaces and -approximations of Markov chains

DOI10.1155/2011/801303zbMATH Open1234.60071arXiv0901.1871OpenAlexW2023976400WikidataQ58688941 ScholiaQ58688941MaRDI QIDQ638036FDOQ638036

Authors: Giacomo Aletti, Diane Saada 

Publication date: 8 September 2011

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Abstract: On a weakly Blackwell space we show how to define a Markov chain approximating problem, for the target problem. The approximating problem is proved to converge to the optimal reduced problem under different pseudometrics. A computational example of compression of information is discussed.

Full work available at URL: https://arxiv.org/abs/0901.1871

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Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (1)

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