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Perturbations of countable Markov chains and processes

  • R. L. Tweedie
Article

Abstract

IfP is a transition matrix of a Markov chain, and\(\tilde P\) is derived by perturbing the elements ofP, then we find conditions such that\(\tilde P\) is also positive recurrent whenP is, and relate the invariant probability measures for the two. Similar results are found for recurrence of chains, and the methods then yield analogues for continuous time processes also.

Keywords

Markov Chain Invariant Measure Transition Matrix Invariant Probability Measure Finite Markov Chain 

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Copyright information

© The Institute of Statistical Mathematics, Tokyo 1980

Authors and Affiliations

  • R. L. Tweedie

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