A Note on the Stability of Monotone Markov Chains
Probability
2024-09-20 v3 Theoretical Economics
Abstract
This note studies monotone Markov chains, a subclass of Markov chains with extensive applications in operations research and economics. While the properties that ensure the global stability of these chains are well studied, their establishment often relies on the fulfillment of a certain splitting condition. We address the challenges of verifying the splitting condition by introducing simple, applicable conditions that ensure global stability. The simplicity of these conditions is demonstrated through various examples including autoregressive processes, portfolio allocation problems and resource allocation dynamics.
Keywords
Cite
@article{arxiv.2401.11568,
title = {A Note on the Stability of Monotone Markov Chains},
author = {Bar Light},
journal= {arXiv preprint arXiv:2401.11568},
year = {2024}
}