Perturbed Markov chains

Nicolas Vieille () and Eilon Solan ()

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Abstract: We study irreducible time-homogenous Markov chains with finite state space in discrete time. We obtain results on the sensitivity of the stationary distribution and other statistical quantities with respect to perturbations of the transition matrix. We define a new closeness relation between transition matrices, and use graph-theoretic techniques, in contrast with the matrix analysis techniques previously used.

Keywords: Markov chains; stationary distribution; exit distribution; conductance; sensitivity analysis; perturbation theory; stability of a Markov chain (search for similar items in EconPapers)
Date: 2003-03-01
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Citations: View citations in EconPapers (2)

Published in Journal of Applied Probability, 2003, Vol.40,n°1, pp.107-122. ⟨10.1239/jap/1044476830⟩

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Related works:
Working Paper: Perturbed Markov Chains (2002)
Working Paper: Perturbed Markov Chains (2002)
Working Paper: Perturbed Markov Chains (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00464967

DOI: 10.1239/jap/1044476830

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