Perturbed Markov Chains

Details Perturbed Markov Chains Perturbed Markov Chains

2003-06-17

arxiv.org/abs/math/0306248v1

Journal of Applied Probability, 2003, 40, 107-122

Mathematics

Probability

22 pages

Scientific paper

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.

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