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Imprecise Markov chains with absorption
Authors:RJ Crossman  D Škulj
Institution:a Dept of Mathematical Sciences, Durham University, Science Laboratories, South Road, Durham DH1 3LE, United Kingdom
b University of Ljubljana, Faculty of Social Sciences, Kardeljeva pl. 5, 1000 Ljubljana, Slovenia
Abstract:We consider convergence of Markov chains with uncertain parameters, known as imprecise Markov chains, which contain an absorbing state. We prove that under conditioning on non-absorption the imprecise conditional probabilities converge independently of the initial imprecise probability distribution if some regularity conditions are assumed. This is a generalisation of a known result from the classical theory of Markov chains by Darroch and Seneta 6].
Keywords:Primary 60J10  Secondary 37A50
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