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Stability of functionals of perturbed Markov chains under the condition of uniform minorization

  • Vitaliy Golomoziy EMAIL logo
Published/Copyright: November 7, 2020

Abstract

In this paper, we investigate the stability of functionals and trajectories of two different, independent, time-inhomogeneous, discrete-time Markov chains on a general state space. We obtain various stability estimates such as an estimate for a difference in expectations of functionals, L2 stability, and a probability of large deviations. The key condition that is used is the minorization condition on the whole space. We consider different limitations on the functional and on the proximity of two chains. We use the coupling method as a primary technique in our proofs.

MSC 2010: 60J45; 60A05; 60K05

Communicated by Vyacheslav L. Girko


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Received: 2020-04-14
Accepted: 2020-06-20
Published Online: 2020-11-07
Published in Print: 2020-12-01

© 2020 Walter de Gruyter GmbH, Berlin/Boston

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