Abstract
This work is concerned with aggregations in a singularly perturbed Markov chain having a finite state space and fast and slow motions.The state space of the underlying Markov chain can be decomposed into several groups of recurrent states and a group of transient states.The asymptotic properties are studied through sequences of unscaled and scaled occupation measures.By treating the states within each recurrent class as a single state, an aggregated process is defined and shown to be convergent to a limit Markov chain.In addition, it is shown that a sequence of suitably rescaled occupation measures converges to a switching diffusion process weakly.
Citation
G. Badowski. G. Yin. Q. Zhang. "Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states." Ann. Appl. Probab. 10 (2) 549 - 572, May 2000. https://doi.org/10.1214/aoap/1019487355
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