Imprecise Markov chains with absorption |
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Authors: | RJ Crossman D Škulj |
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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 |
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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]. |
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Keywords: | Primary 60J10 Secondary 37A50 |
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