Inverse Problems for Ergodicity of Markov Chains
Probability
2024-05-06 v1
Abstract
For both continuous-time and discrete-time Markov Chains, we provide criteria for inverse problems of classical types of ergodicity: (ordinary) erogodicity, algebraic ergodicity, exponential ergodicity and strong ergodicity. Our criteria are in terms of the existence of solutions to inequalities involving the -matrix (or transition matrix in time-discrete case) of the process. Meanwhile, these criteria are applied to some examples and provide "universal" treatment, including single birth processes and several multi-dimensional models.
Cite
@article{arxiv.2001.00134,
title = {Inverse Problems for Ergodicity of Markov Chains},
author = {Zhi-Feng Wei},
journal= {arXiv preprint arXiv:2001.00134},
year = {2024}
}