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A formula for singular perturbations of Markov chains

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

Jean B. Lasserre
Jean B. Lasserre*
Affiliation:
LAAS-CNRS
*
∗ Postal address: LAAS-CNRS, 7 Avenue du Colonel Roche, 31 077 Toulouse Cédex, France.
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Abstract

We give formulas for updating both the steady-state probability distribution and the fundamental matrices of a singularly perturbed Markov chain. This formula generalizes Schweitzer's regular perturbation formulas to the case of singular perturbations.

Keywords

TRANSITION PROBABILITY MATRIXREGULAR PERTURBATION

MSC classification

Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 31 , Issue 3 , September 1994 , pp. 829 - 833
Copyright
Copyright © Applied Probability Trust 1994 

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References

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