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Results tagged with markov-chains
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user 121692
6
votes
0
answers
594
views
'Permutation Coupling' for Markov Chains
Suppose I have a Markov chain (discrete time, finite state space) on $[N] = \{1, 2, \cdots, N\}$, with Markov kernel given by a doubly stochastic matrix $P$. The double-stochasticity guarantees that t …
- 801
1
vote
0
answers
109
views
Existence of Time-Reversed Markov Kernels
Suppose I have a probability measure $\pi$ and a Markov kernel $q$ which leaves $\pi$ invariant, in the sense that
\begin{align}
\int_x \pi(dx) q(x \to dy) = \pi(dy)
\end{align}
Then, a (the) time-r …
- 801
2
votes
Accepted
When is a stationary measure of a Markov chain "exponentially localized"?
I will give some answers in terms of diffusion processes, since the examples are easiest for me to describe in that context. There are more general examples which follow the same pattern, but typicall …
- 801