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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 ...
SID A's user avatar
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2 votes
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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 ...
jkt's user avatar
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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 ...
MthQ's user avatar
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1 vote
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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 ...
SID A's user avatar
  • 31