Structural properties of Markov chains with weak and strong interactions

Q. Zhang and G. Yin

Stochastic Processes and their Applications, 1997, vol. 70, issue 2, 181-197

Abstract: Markov chains have been frequently used to characterize uncertainty in many real-world problems. Quite often, these Markov chains can be decomposed into a vector consisting of fast and slow components; these components are coupled through weak and strong interactions. The main goal of this work is to study the structural properties of such Markov chains. Under mild conditions, it is proved that the underlying Markov chain can be approximated in the weak topology of L2 by an aggregated process. Moreover, the aggregated process is shown to converge in distribution to a Markov chain as the rate of fast transitions tends to infinity. Under an additional Lipschitz condition, error bounds of the approximation sequences are obtained.

Keywords: Markov; chains; Weak; and; strong; interactions; Singular; perturbation; Weak; convergence (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (3)

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