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Locally contracting iterated functions and stability of Markov chains.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Locally contracting iterated functions and stability of Markov chains. / Jarner, S. F.; Tweedie, R. L.
In: Journal of Applied Probability, Vol. 38, No. 2, 2001, p. 494-507.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Jarner, SF & Tweedie, RL 2001, 'Locally contracting iterated functions and stability of Markov chains.', Journal of Applied Probability, vol. 38, no. 2, pp. 494-507. https://doi.org/10.1239/jap/996986758

APA

Jarner, S. F., & Tweedie, R. L. (2001). Locally contracting iterated functions and stability of Markov chains. Journal of Applied Probability, 38(2), 494-507. https://doi.org/10.1239/jap/996986758

Vancouver

Jarner SF, Tweedie RL. Locally contracting iterated functions and stability of Markov chains. Journal of Applied Probability. 2001;38(2):494-507. doi: 10.1239/jap/996986758

Author

Jarner, S. F. ; Tweedie, R. L. / Locally contracting iterated functions and stability of Markov chains. In: Journal of Applied Probability. 2001 ; Vol. 38, No. 2. pp. 494-507.

Bibtex

@article{60969a950d7a47f8b956c8b779a14ab7,
title = "Locally contracting iterated functions and stability of Markov chains.",
abstract = "We consider Markov chains in the context of iterated random functions and show the existence and uniqueness of an invariant distribution under a local contraction condition combined with a drift condition, extending results of Diaconis and Freedman. From these we deduce various other topological stability properties of the chains. Our conditions are typically satisfied by, for example, queueing and storage models where the global Lipschitz condition used by Diaconis and Freedman normally fails.",
keywords = "Markov chains, iterated functions, geometric convergence, stochastic monotonicity, rates of convergence",
author = "Jarner, {S. F.} and Tweedie, {R. L.}",
year = "2001",
doi = "10.1239/jap/996986758",
language = "English",
volume = "38",
pages = "494--507",
journal = "Journal of Applied Probability",
publisher = "University of Sheffield",
number = "2",

}

RIS

TY - JOUR

T1 - Locally contracting iterated functions and stability of Markov chains.

AU - Jarner, S. F.

AU - Tweedie, R. L.

PY - 2001

Y1 - 2001

N2 - We consider Markov chains in the context of iterated random functions and show the existence and uniqueness of an invariant distribution under a local contraction condition combined with a drift condition, extending results of Diaconis and Freedman. From these we deduce various other topological stability properties of the chains. Our conditions are typically satisfied by, for example, queueing and storage models where the global Lipschitz condition used by Diaconis and Freedman normally fails.

AB - We consider Markov chains in the context of iterated random functions and show the existence and uniqueness of an invariant distribution under a local contraction condition combined with a drift condition, extending results of Diaconis and Freedman. From these we deduce various other topological stability properties of the chains. Our conditions are typically satisfied by, for example, queueing and storage models where the global Lipschitz condition used by Diaconis and Freedman normally fails.

KW - Markov chains

KW - iterated functions

KW - geometric convergence

KW - stochastic monotonicity

KW - rates of convergence

U2 - 10.1239/jap/996986758

DO - 10.1239/jap/996986758

M3 - Journal article

VL - 38

SP - 494

EP - 507

JO - Journal of Applied Probability

JF - Journal of Applied Probability

IS - 2

ER -