Regeneration and general Markov chains

Regeneration and general Markov chains

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Article ID: iaor1997262
Country: United States
Volume: 7
Issue: 3
Start Page Number: 357
End Page Number: 371
Publication Date: Jul 1994
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors:
Abstract:

Ergodicity, continuity, finite approximations and rare visits of general Markov chains are investigated. The obtained results permit further quantitative analysis of characteristics, such as, rates of convergence, continuity (measured as a distance between perturbed and non-pertrubed characteristics), deviations between Markov chains, accuracy of approximations and bounds on the distribution function of the first visit time to a chosen subset, etc. The underlying techniques use the embedded of the general Markov chain into a wide sense regenerative process with the help of splitting construction.

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