Perturbed Markov Chains
AbstractWe 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.
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Bibliographic InfoPaper provided by HEC Paris in its series Les Cahiers de Recherche with number 757.
Length: 19 pages
Date of creation: 24 Feb 2002
Date of revision:
perturbed markov chains; conductance;
Other versions of this item:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
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- Solan, Eilon & Vieille, Nicolas, 2002.
"Correlated Equilibrium in Stochastic Games,"
Games and Economic Behavior,
Elsevier, vol. 38(2), pages 362-399, February.
- Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 2002.
"Stochastic Games with Imperfect Monitoring,"
1341, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Seneta, E., 1993. "Sensitivity of finite Markov chains under perturbation," Statistics & Probability Letters, Elsevier, vol. 17(2), pages 163-168, May.
- Solan, Eilon & Vieille, Nicolas, 2002. "Correlated Equilibrium in Stochastic Games," Economics Papers from University Paris Dauphine 123456789/6019, Paris Dauphine University.
- VIEILLE, Nicolas & ROSENBERG, Dinah & SOLAN, Eilon, 2002. "Approximating a sequence of observations by a simple process," Les Cahiers de Recherche 756, HEC Paris.
- 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.
- Eilon Solan & Nicolas Vieille, 2010. "Computing uniformly optimal strategies in two-player stochastic games," Economic Theory, Springer, vol. 42(1), pages 237-253, January.
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