The limit behaviour of imprecise continuous-time Markov chains

DOI10.1007/S00332-016-9328-3MaRDI QIDQ525496zbMATH OpenOpenAlexFDO

Authors Jasper De Bock

Publication date 4 May 2017

Published in Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.05478

zbMATH Keywords

ergodicityMarkov chainconvergencecontinuous timematrix exponentiallimiting distributionimpreciselower transition operatorlower transition rate operator

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Asymptotic theory of functional-differential equations (34K25) Stochastic functional-differential equations (34K50) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35)

Abstract: We study the limit behaviour of a generally non-linear ordinary differential equation whose solution is a superadditive generalisation of a stochastic matrix, and provide necessary and sufficient conditions for this solution to be ergodic, in the sense that it converges to an operator that, essentially, maps functions to constants. In the linear case, the solution of our differential equation is equal to the matrix exponential of an intensity matrix and can then be interpreted as the transition operator of a homogeneous continuous-time Markov chain. Similarly, in the generalised non-linear case that we consider, the solution can be interpreted as the lower transition operator of a specific set of non-homogeneous continuous-time Markov chains, called an imprecise continuous-time Markov chain. In this context, our main result provides a necessary and sufficient condition for such an imprecise continuous-time Markov chain to converge to a unique limiting distribution.

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Cited in

(9)

• Limit Behaviour of Upper and Lower Expected Time Averages in Discrete-Time Imprecise Markov Chains
• Markovian imprecise jump processes: extension to measurable variables, convergence theorems and algorithms
• Application of normal cones to the computation of solutions of the nonlinear Kolmogorov backward equation
• On nonlinear expectations and Markov chains under model uncertainty
• Imprecise continuous-time Markov chains
• Bounding inferences for large-scale continuous-time Markov chains: a new approach based on lumping and imprecise Markov chains
• Imprecise Markov chains with absorption
• Average behaviour in discrete-time imprecise Markov chains: a study of weak ergodicity
• Normal cones corresponding to credal sets of lower probabilities

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