Limit profiles for reversible Markov chains
Sign Up to like & getrecommendations! Published in 2021 at "Probability Theory and Related Fields"
DOI: 10.1007/s00440-021-01061-5
Abstract: In a recent breakthrough, Teyssier (Ann Probab 48(5):2323–2343, 2020) introduced a new method for approximating the distance from equilibrium of a random walk on a group. He used it to study the limit profile for the… read more here.
Keywords: profiles reversible; markov chains; sharpening results; reversible markov ... See more keywords
Using Semi-Markov Chains to Solve Semi-Markov Processes
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DOI: 10.1007/s11009-020-09820-y
Abstract: This article provides a novel method to solve continuous-time semi-Markov processes by algorithms from discrete-time case, based on the fact that the Markov renewal function in discrete-time case is a finite series. Bounds of approximate… read more here.
Keywords: time; markov processes; using semi; semi markov ... See more keywords
Discounted approximations to the risk-sensitive average cost in finite Markov chains
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2017.01.084
Abstract: Abstract This work concerns with Markov chains on a finite state space, which is endowed with a cost function. The evolution of the chain is observed by an agent with constant risk-sensitivity and, assuming that… read more here.
Keywords: risk sensitive; discounted approximations; markov chains; average cost ... See more keywords
A unified perturbation analysis framework for countable Markov chains
Sign Up to like & getrecommendations! Published in 2017 at "Linear Algebra and its Applications"
DOI: 10.1016/j.laa.2017.05.002
Abstract: Abstract In this paper, we are devoted to singular perturbation analysis for discrete-time or continuous-time Markov chains. We modify and extend the drift condition method, well known for regular perturbation, to develop a new framework… read more here.
Keywords: analysis; markov chains; time; perturbation analysis ... See more keywords
Kemeny's constant for countable Markov chains
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DOI: 10.1016/j.laa.2020.07.001
Abstract: Abstract In this paper, we aim to investigate Kemeny's constant for discrete-time or continuous-time, irreducible and positive recurrent Markov chains on a countable state space. We show that Kemeny's constant is infinite for a discrete-time… read more here.
Keywords: chain; markov; discrete time; markov chains ... See more keywords
On uniform closeness of local times of Markov chains and i.i.d. sequences
Sign Up to like & getrecommendations! Published in 2018 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2017.10.015
Abstract: Abstract In this paper we consider the field of local times of a discrete-time Markov chain on a general state space, and obtain uniform (in time) upper bounds on the total variation distance between this… read more here.
Keywords: chains sequences; closeness local; uniform closeness; markov chains ... See more keywords
Large deviations of Markov chains with multiple time-scales
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DOI: 10.1016/j.spa.2018.09.009
Abstract: For Markov processes evolving on multiple time-scales a combination of large com- ponent scalings and averaging of rapid fluctuations can lead to useful limits for model approximation. A general approach to proving a law of… read more here.
Keywords: deviations markov; multiple time; time scales; markov chains ... See more keywords
On geometric and algebraic transience for block-structured Markov chains
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2020.69
Abstract: Abstract Block-structured Markov chains model a large variety of queueing problems and have many important applications in various areas. Stability properties have been well investigated for these Markov chains. In this paper we will present… read more here.
Keywords: markov; transience; markov chains; structured markov ... See more keywords
THE STRONG LIMIT THEOREM FOR RELATIVE ENTROPY DENSITY RATES BETWEEN TWO ASYMPTOTICALLY CIRCULAR MARKOV CHAINS
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DOI: 10.1017/s0269964818000074
Abstract: In this paper, we are going to study the strong limit theorem for the relative entropy density rates between two finite asymptotically circular Markov chains. Firstly, we prove some lammas on which the main result… read more here.
Keywords: markov; entropy density; strong limit; markov chains ... See more keywords
A kind of asymptotic properties of moving averages for Markov chains in Markovian environments
Sign Up to like & getrecommendations! Published in 2017 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2016.1252404
Abstract: ABSTRACT Consider a Markov chain with finite alphabets. In this paper, we study the asymptotic properties of moving average, harmonic mean, and strong deviation theorems (limit theorems expressed by inequalities) of moving geometric average of… read more here.
Keywords: moving averages; markovian environments; markov chains; kind asymptotic ... See more keywords
Time-inhomogeneous random Markov chains
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Statistical Mechanics: Theory and Experiment"
DOI: 10.1088/1742-5468/aae028
Abstract: We consider Markov chains with random transition probabilities which, moreover, fluctuate randomly with time. We describe such a system by a product of stochastic matrices, $U(t)=M_t\cdots M_1$, with the factors $M_i$ drawn independently from an… read more here.
Keywords: markov; markov chains; random markov; random ... See more keywords