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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
    as

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    References listed on IDEAS

    as
    1. Nicolas Vieille, 2000. "Small perturbations and stochastic games," Post-Print hal-00481409, HAL.
    2. Solan, Eilon & Vieille, Nicolas, 2002. "Correlated Equilibrium in Stochastic Games," Games and Economic Behavior, Elsevier, vol. 38(2), pages 362-399, February.
    3. repec:dau:papers:123456789/6019 is not listed on IDEAS
    4. 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.
    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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