Convergence of Invariant Measures of Truncation Approximations to Markov Processes - Applied Mathematics

AM > Vol.3 No.12, December 2012

Convergence of Invariant Measures of Truncation Approximations to Markov Processes ()

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Download as PDF (Size: 297KB) PP. 2205-2215

DOI: 10.4236/am.2012.312A301 5,325 Downloads 8,196 Views Citations

Author(s)

Andrew G. Hart, Richard L. Tweedie

Affiliation(s)

Centro de Modelamiento Matemático, Facultad de Ciencias Físicas y Matemáticas, Universidad de Chile, Santiago, Chile.
Division of Biostatistics, School of Public Health, University of Minnesota, Minneapolis, USA.

ABSTRACT

Let Q be the Q-matrix of an irreducible, positive recurrent Markov process on a countable state space. We show that, under a number of conditions, the stationary distributions of the n × n north-west corner augmentations of Q converge in total variation to the stationary distribution of the process. Two conditions guaranteeing such convergence include exponential ergodicity and stochastic monotonicity of the process. The same also holds for processes dominated by a stochastically monotone Markov process. In addition, we shall show that finite perturbations of stochastically monotone processes may be viewed as being dominated by a stochastically monotone process, thus extending the scope of these results to a larger class of processes. Consequently, the augmentation method provides an attractive, intuitive method for approximating the stationary distributions of a large class of Markov processes on countably infinite state spaces from a finite amount of known information.

KEYWORDS

Invariant Measure; Truncation Approximation; Augmentation; Exponential Ergodicity; Stochastic Monotonicity; Markov Process

Share and Cite:

A. Hart and R. Tweedie, "Convergence of Invariant Measures of Truncation Approximations to Markov Processes," Applied Mathematics, Vol. 3 No. 12A, 2012, pp. 2205-2215. doi: 10.4236/am.2012.312A301.

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