Lower bounds for the rate of convergence for continuous-time inhomogeneous Markov chains with a finite state space

A.I. Zeifman, V.Yu. Korolev, Ya.A. Satin and K.M. Kiseleva

Statistics & Probability Letters, 2018, vol. 137, issue C, 84-90

Abstract: An approach is proposed to the construction of general lower bounds for the rate of convergence of probability characteristics of continuous-time inhomogeneous Markov chains with a finite state space in terms of special “weighted” norms related to total variation. We study the sharpness of these bounds for finite birth–death–catastrophes process and for a Markov chain with large output intensity from a state.

Keywords: Continuous-time Markov chains; Inhomogeneous Markov chains; Ergodicity bounds; Special norms (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2018.01.001

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