Convergence of locally and globally interacting Markov chains

Hans Föllmer and Ulrich Horst

No 2001,21, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: We study the long run behaviour of interactive Markov chains on infinite product spaces. In view of microstructure models of financial markets, the interaction has both a local and a global component. The convergence of such Markov chains is analyzed on the microscopic level and on the macroscopic level of empirical fields. We give sufficient conditions for convergence on the macroscopic level. Using a perturbation of the Dobrushin-Vasserstein contraction technique we show that macroscopic convergence implies weak convergence of the underlying Markov chain. This extends the basic convergence theorem of Vasserstein (1969) for locally interacting Markov chains to the case where an additional global component appears in the interaction.

Keywords: Markov chains on infinite product spaces; convergence of Markov chains; contraction techniques; Gibbs measures (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (17)

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Journal Article: Convergence of locally and globally interacting Markov chains (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200121

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