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2009 Merging for time inhomogeneous finite Markov chains, Part I: Singular values and stability
Laurent Saloff-Coste, Jessica Zuniga
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Electron. J. Probab. 14: 1456-1494 (2009). DOI: 10.1214/EJP.v14-656

Abstract

We develop singular value techniques in the context of time inhomogeneous finite Markov chains with the goal of obtaining quantitative results concerning the asymptotic behavior of such chains. We introduce the notion of c-stability which can be viewed as a generalization of the case when a time inhomogeneous chain admits an invariant measure. We describe a number of examples where these techniques yield quantitative results concerning the merging of the distributions of the time inhomogeneous chain started at two arbitrary points.

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Laurent Saloff-Coste. Jessica Zuniga. "Merging for time inhomogeneous finite Markov chains, Part I: Singular values and stability." Electron. J. Probab. 14 1456 - 1494, 2009. https://doi.org/10.1214/EJP.v14-656

Information

Accepted: 2 July 2009; Published: 2009
First available in Project Euclid: 1 June 2016

zbMATH: 1195.60099
MathSciNet: MR2519527
Digital Object Identifier: 10.1214/EJP.v14-656

Subjects:
Primary: 60J10

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