All Questions
4 questions with no upvoted or accepted answers
2
votes
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answers
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Representing a continuous time-inhomogeneous Markov chain by a stochastic integral
I am interested in the following mean-field model introduced in the reference below:
There are $N$ particles. At each instant of time, a particle's state is a particular value taken from the finite ...
2
votes
0
answers
207
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markov processes and ergodic theory
For an ergodic Markov Chain
$$
\frac{1}{N}\sum_{i=1}^n f(X_i) \rightarrow E_\pi[f]
$$
where $\pi$ is the invariant distribution. I am also dealing with a Markovian process (a state space model to ...
2
votes
0
answers
199
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CLT for a Markov Renewal Process
Suppose $(X,T)=\{(X_n,T_n)\}_{n\geq0}$ is a Markov renewal process, where $X$ is a finite-state, discrete-time Markov chain with state space $\{1,2,...,R\}$. $T$ is the additive component, more ...
1
vote
0
answers
61
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Convergence of empirical measure to Mc-Kean Vlasov equation for mean-field model with jumps
I am interested in the following mean-field model introduced in the reference below:
There are $N$ particles. At each instant of time, a particle's state is a particular value taken from the finite ...