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Perturbed Markov Chains

Author

Listed:
  • VIEILLE, Nicolas
  • SOLAN, Eilon

    (Kellogg School of Management, Northwestern University)

Abstract

We obtain results on the sensitivity of the invariant measure and other statistical quantities of a Markov chain with respect to perturbations of the transition matrix. We use graph-theoretic techniques, in contrast with the matrix analysis techniques previously used.

Suggested Citation

  • VIEILLE, Nicolas & SOLAN, Eilon, 2002. "Perturbed Markov Chains," HEC Research Papers Series 757, HEC Paris.
    • Handle: RePEc:ebg:heccah:0757
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    References listed on IDEAS

    as
    1. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 2002. "Stochastic Games with Imperfect Monitoring," Discussion Papers 1341, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. repec:dau:papers:123456789/6019 is not listed on IDEAS
    3. Nicolas Vieille, 2000. "Small perturbations and stochastic games," Post-Print hal-00481409, HAL.
    4. Solan, Eilon & Vieille, Nicolas, 2002. "Correlated Equilibrium in Stochastic Games," Games and Economic Behavior, Elsevier, vol. 38(2), pages 362-399, February.
    5. Seneta, E., 1993. "Sensitivity of finite Markov chains under perturbation," Statistics & Probability Letters, Elsevier, vol. 17(2), pages 163-168, May.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. VIEILLE, Nicolas & ROSENBERG, Dinah & SOLAN, Eilon, 2002. "Approximating a sequence of observations by a simple process," HEC Research Papers Series 756, HEC Paris.
    2. Eilon Solan & Nicolas Vieille, 2010. "Computing uniformly optimal strategies in two-player stochastic games," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(1), pages 237-253, January.
    3. , Aisdl, 2007. "Weak convergence of first-rare-event times for semi-Markov processes," OSF Preprints q95cv, Center for Open Science.
    4. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 2002. "Approximating a Sequence of Approximations by a Simple Process," Discussion Papers 1345, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

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    More about this item

    Keywords

    perturbed markov chains; conductance;

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

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