Events
CRiSM Seminar
Location: A1.01
Daniel Rudolf - Perturbation theory for Markov chains
Perturbation theory for Markov chains addresses the question of how small differences in the transition probabilities of Markov chains are reflected in differences between their distributions. Under a convergence condition we present an estimate of the Wasserstein distance of the nth step distributions between an ideal, unperturbed and an approximating, perturbed Markov chain. We illustrate the result with an example of an autoregressive process.