Fluctuations of the Empirical Measure of Freezing Markov Chains

Abstract : In this work, we consider a finite-state inhomogeneous-time Markov chain whose probabilities of transition from one state to another tend to decrease over time. This can be seen as a cooling of the dynamics of an underlying Markov chain. We are interested in the long time behavior of the empirical measure of this freezing Markov chain. Some recent papers provide almost sure convergence and convergence in distribution in the case of the freezing speed n^{-θ} , with different limits depending on θ<1, θ=1 or θ>1. Using stochastic approximation techniques, we generalize these results for any freezing speed, and we obtain a better characterization of the limit distribution as well as rates of convergence as well as functional convergence.
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Pré-publication, Document de travail
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Contributeur : Florian Bouguet <>
Soumis le : lundi 8 mai 2017 - 19:37:13
Dernière modification le : mardi 17 avril 2018 - 09:04:15
Document(s) archivé(s) le : mercredi 9 août 2017 - 15:46:39


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  • HAL Id : hal-01519611, version 1
  • ARXIV : 1705.02121


Florian Bouguet, Bertrand Cloez. Fluctuations of the Empirical Measure of Freezing Markov Chains. 2017. 〈hal-01519611〉



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