带马氏切换的马氏过程的指数收敛速度

Abstract

Abstract:

Let (X(t), Z(t)) be a strong Markov process with the phase space [0, ∞) ×{1, 2, …, n₀} such that the first component X(t) depends on the second component Z(t) which is a Markov chain. Using the coupling methods, the author evaluates the exponential convergence rates of the transition probability of (X(t), Z(t)) to its invariant probability measure in total variation norm.

Key words: Markovian switching, Coupling, Exponential convergence rate, Total variation

CLC Number:

60K25

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XI Fu-Bao. Exponential Convergence Rates for Markov Processes with Markovian Switching[J].Acta mathematica scientia,Series A, 2009, 29(4): 1051-1057.

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Exponential Convergence Rates for Markov Processes with Markovian Switching

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