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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," Les Cahiers de Recherche 757, HEC Paris.
  • Handle: RePEc:ebg:heccah:0757
    as

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    File URL: http://www.hec.fr/var/fre/storage/original/application/8e64bc6ff46d14cce461d58a938cb650.pdf
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    References listed on IDEAS

    as
    1. Eilon Solan & Nicolas Vieille, 2001. "Quitting Games," Mathematics of Operations Research, INFORMS, vol. 26(2), pages 265-285, May.
    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. VIEILLE, Nicolas & SOLAN, Eilon, 2002. "Perturbed Markov Chains," Les Cahiers de Recherche 757, HEC Paris.
    5. Seneta, E., 1993. "Sensitivity of finite Markov chains under perturbation," Statistics & Probability Letters, Elsevier, pages 163-168.
    6. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 2003. "Stochastic Games with Imperfect Monitoring," Discussion Papers 1376, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    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," Les Cahiers de Recherche 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), pages 237-253.
    3. 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), pages 237-253.
    4. VIEILLE, Nicolas & ROSENBERG, Dinah & SOLAN, Eilon, 2002. "Stochastic games with a single controller and incomplete information," Les Cahiers de Recherche 754, HEC Paris.

    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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