Stability Estimates for Finite-Dimensional Distributions of Time-Inhomogeneous Markov Chains

Vitaliy Golomoziy and Yuliya Mishura
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Vitaliy Golomoziy: Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 01601 Kyiv, Ukraine
Yuliya Mishura: Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 01601 Kyiv, Ukraine

Mathematics, 2020, vol. 8, issue 2, 1-13

Abstract: This paper is devoted to the study of the stability of finite-dimensional distribution of time-inhomogeneous, discrete-time Markov chains on a general state space. The main result of the paper provides an estimate for the absolute difference of finite-dimensional distributions of a given time-inhomogeneous Markov chain and its perturbed version. By perturbation, we mean here small changes in the transition probabilities. Stability estimates are obtained using the coupling method.

Keywords: finite-dimensional distributions; Markov chains; coupling method; stability (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2020
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