Displaying similar documents to “Ergodicity of a certain class of non Feller models : applications to 𝐴𝑅𝐶𝐻 and Markov switching models”

Ergodicity of a certain class of Non Feller Models: Applications to and Markov switching models

Jean-Gabriel Attali (2010)

ESAIM: Probability and Statistics

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We provide an extension of topological methods applied to a certain class of Non Feller Models which we call Quasi-Feller. We give conditions to ensure the existence of a stationary distribution. Finally, we strengthen the conditions to obtain a positive Harris recurrence, which in turn implies the existence of a strong law of large numbers.

Estimates for perturbations of average Markov decision processes with a minimal state and upper bounded by stochastically ordered Markov chains

Raúl Montes-de-Oca, Francisco Salem-Silva (2005)

Kybernetika

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This paper deals with Markov decision processes (MDPs) with real state space for which its minimum is attained, and that are upper bounded by (uncontrolled) stochastically ordered (SO) Markov chains. We consider MDPs with (possibly) unbounded costs, and to evaluate the quality of each policy, we use the objective function known as the average cost. For this objective function we consider two Markov control models ℙ and ℙ 1 . ℙ and ℙ 1 have the same components except for the transition laws....

On the classification of Markov chains via occupation measures

Onésimo Hernández-Lerma, Jean Lasserre (2000)

Applicationes Mathematicae

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We consider a Markov chain on a locally compact separable metric space X and with a unique invariant probability. We show that such a chain can be classified into two categories according to the type of convergence of the expected occupation measures. Several properties in each category are investigated.

(Homogeneous) markovian bridges

Vincent Vigon (2011)

Annales de l'I.H.P. Probabilités et statistiques

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(Homogeneous) Markov bridges are (time homogeneous) Markov chains which begin at a given point and end at a given point. The price to pay for preserving the homogeneity is to work with processes with a random life-span. Bridges are studied both for themselves and for their use in describing the transformations of Markov chains: restriction on a random interval, time reversal, time change, various conditionings comprising the confinement in some part of the state space. These bridges...

An Application of Skew Product Maps to Markov Chains

Zbigniew S. Kowalski (2007)

Bulletin of the Polish Academy of Sciences. Mathematics

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By using the skew product definition of a Markov chain we obtain the following results: (a) Every k-step Markov chain is a quasi-Markovian process. (b) Every piecewise linear map with a Markovian partition defines a Markov chain for every absolutely continuous invariant measure. (c) Satisfying the Chapman-Kolmogorov equation is not sufficient for a process to be quasi-Markovian.