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

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

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-inhomo...

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Bibliographic Details
Main Authors: Vitaliy Golomoziy, Yuliya Mishura
Format: Article
Language:English
Published: MDPI AG 2020-02-01
Series:Mathematics
Subjects:
finite-dimensional distributions
markov chains
coupling method
stability
Online Access:https://www.mdpi.com/2227-7390/8/2/174
Description
Summary: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.
ISSN:2227-7390

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