Displaying similar documents to “Estimates for perturbations of discounted Markov chains on general spaces”

Simple Markov chains

O. Adelman (1976)

Annales scientifiques de l'Université de Clermont. Mathématiques

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Conditional Markov chains - construction and properties

Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski (2015)

Banach Center Publications

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In this paper we study finite state conditional Markov chains (CMCs). We give two examples of CMCs, one which admits intensity, and another one, which does not admit an intensity. We also give a sufficient condition under which a doubly stochastic Markov chain is a CMC. In addition we provide a method for construction of conditional Markov chains via change of measure.

Why the Kemeny Time is a constant

Karl Gustafson, Jeffrey J. Hunter (2016)

Special Matrices

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We present a new fundamental intuition forwhy the Kemeny feature of a Markov chain is a constant. This new perspective has interesting further implications.

Reduction of absorbing Markov chain

Mariusz Górajski (2009)

Annales UMCS, Mathematica

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In this paper we consider an absorbing Markov chain with finite number of states. We focus especially on random walk on transient states. We present a graph reduction method and prove its validity. Using this method we build algorithms which allow us to determine the distribution of time to absorption, in particular we compute its moments and the probability of absorption. The main idea used in the proofs consists in observing a nondecreasing sequence of stopping times. Random walk on...

On the exchanges between Wolfgang Doeblin and Bohuslav Hostinský

Laurent Mazliak (2007)

Revue d'histoire des mathématiques

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We present the letters sent by Wolfgang Doeblin to Bohuslav Hostinský between 1936 and 1938. They concern some aspects of the general theory of Markov chains and the solutions of the Chapman-Kolmogorov equation that Doeblin was then establishing for his PhD thesis.

Technical comment. A problem on Markov chains

Franco Giannessi (2002)

RAIRO - Operations Research - Recherche Opérationnelle

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A problem (arisen from applications to networks) is posed about the principal minors of the matrix of transition probabilities of a Markov chain.

Estimates for perturbations of general discounted Markov control chains

Raúl Montes-de-Oca, Alexander Sakhanenko, Francisco Salem-Silva (2003)

Applicationes Mathematicae

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We extend previous results of the same authors ([11]) on the effects of perturbation in the transition probability of a Markov cost chain for discounted Markov control processes. Supposing valid, for each stationary policy, conditions of Lyapunov and Harris type, we get upper bounds for the index of perturbations, defined as the difference of the total expected discounted costs for the original Markov control process and the perturbed one. We present examples that satisfy our conditions. ...

Accurate calculations of Stationary Distributions and Mean First Passage Times in Markov Renewal Processes and Markov Chains

Jeffrey J. Hunter (2016)

Special Matrices

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This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30, 197–207, (1986) procedure. The technique is numerically stable in that it doesn’t involve subtractions. Algebraic expressions for the special cases of one, two, three and four states are derived.Aconsequence of the procedure is that the stationary distribution of the...