Perturbed Markov chains

Perturbed Markov chains

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Article ID: iaor20042801
Country: United States
Volume: 40
Issue: 1
Start Page Number: 107
End Page Number: 122
Publication Date: Mar 2003
Journal: Journal of Applied Probability
Authors: ,
Abstract:

We study irreducible time-homogeneous Markov chains with finite state space in discrete time. We obtain results on the sensitivity of the stationary distribution and other statistical quantities with respect to perturbations of the transition matrix. We define a new closeness relation between transition matrices, and use graph-theoretic techniques, in contrast with the matrix analysis techniques previously used.

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