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A unified stability theory for classical and monotone Markov chains
- Source :
- Journal of Applied Probability. 56:1-22
- Publication Year :
- 2019
- Publisher :
- Cambridge University Press (CUP), 2019.
-
Abstract
- In this paper we integrate two strands of the literature on stability of general state Markov chains: conventional, total-variation-based results and more recent order-theoretic results. First we introduce a complete metric over Borel probability measures based on ‘partial’ stochastic dominance. We then show that many conventional results framed in the setting of total variation distance have natural generalizations to the partially ordered setting when this metric is adopted.
- Subjects :
- Statistics and Probability
Markov chain
General Mathematics
05 social sciences
Stochastic dominance
01 natural sciences
Stability (probability)
010104 statistics & probability
Total variation
Monotone polygon
Stability theory
0502 economics and business
Metric (mathematics)
Applied mathematics
050207 economics
0101 mathematics
Statistics, Probability and Uncertainty
Mathematics
Probability measure
Subjects
Details
- ISSN :
- 14756072 and 00219002
- Volume :
- 56
- Database :
- OpenAIRE
- Journal :
- Journal of Applied Probability
- Accession number :
- edsair.doi...........bfa48c8e6ee17143e92ca39cb36de49c