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Lower bounds for the rate of convergence for continuous-time inhomogeneous Markov chains with a finite state space

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  • Zeifman, A.I.
  • Korolev, V.Yu.
  • Satin, Ya.A.
  • Kiseleva, K.M.

Abstract

An approach is proposed to the construction of general lower bounds for the rate of convergence of probability characteristics of continuous-time inhomogeneous Markov chains with a finite state space in terms of special “weighted” norms related to total variation. We study the sharpness of these bounds for finite birth–death–catastrophes process and for a Markov chain with large output intensity from a state.

Suggested Citation

  • Zeifman, A.I. & Korolev, V.Yu. & Satin, Ya.A. & Kiseleva, K.M., 2018. "Lower bounds for the rate of convergence for continuous-time inhomogeneous Markov chains with a finite state space," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 84-90.
    • Handle: RePEc:eee:stapro:v:137:y:2018:i:c:p:84-90
    DOI: 10.1016/j.spl.2018.01.001
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    References listed on IDEAS

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    1. Zeifman, A.I. & Korolev, V. Yu., 2015. "Two-sided bounds on the rate of convergence for continuous-time finite inhomogeneous Markov chains," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 30-36.
    2. Granovsky, Boris L. & Zeifman, Alexander I., 1997. "The decay function of nonhomogeneous birth-death processes, with application to mean-field models," Stochastic Processes and their Applications, Elsevier, vol. 72(1), pages 105-120, December.
    3. Di Crescenzo, Antonio & Giorno, Virginia & Nobile, Amelia G., 2016. "Constructing transient birth–death processes by means of suitable transformations," Applied Mathematics and Computation, Elsevier, vol. 281(C), pages 152-171.
    4. Zeifman, A.I., 1995. "Upper and lower bounds on the rate of convergence for nonhomogeneous birth and death processes," Stochastic Processes and their Applications, Elsevier, vol. 59(1), pages 157-173, September.
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    1. Zeifman, A. & Satin, Y. & Kiseleva, K. & Korolev, V. & Panfilova, T., 2019. "On limiting characteristics for a non-stationary two-processor heterogeneous system," Applied Mathematics and Computation, Elsevier, vol. 351(C), pages 48-65.
    2. Alexander Zeifman & Victor Korolev & Yacov Satin, 2020. "Two Approaches to the Construction of Perturbation Bounds for Continuous-Time Markov Chains," Mathematics, MDPI, vol. 8(2), pages 1-25, February.
    3. P. -C. G. Vassiliou, 2022. "Limiting Distributions of a Non-Homogeneous Markov System in a Stochastic Environment in Continuous Time," Mathematics, MDPI, vol. 10(8), pages 1-16, April.
    4. Zeifman, A.I. & Satin, Y.A. & Kiseleva, K.M., 2020. "On obtaining sharp bounds of the rate of convergence for a class of continuous-time Markov chains," Statistics & Probability Letters, Elsevier, vol. 161(C).

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