Stationary distributions and mean first passage times of perturbed Markov chains
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Date
2002
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Massey University
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Abstract
Stationary distributions of perturbed finite irreducible discrete time Markov chains are intimately
connected with the behaviour of associated mean first passage times. This interconnection is explored
through the use of generalized matrix inverses. Some interesting qualitative results regarding the nature
of the relative and absolute changes to the stationary probabilities are obtained together with some
improved bounds.
Description
Keywords
Stationary distribution, Markov chains, First passage time
Citation
Hunter, J.J. (2002), Stationary distributions and mean first passage times of perturbed Markov chains, Research Letters in the Information and Mathematical Sciences, 3, 85-98