Uniformly Uniformly-Ergodic Markov Chains and applications

Stochastic Analysis Seminar Series

If one starts with a uniformly ergodic Markov chain on countable states, what sort of perturbation can one make to the transition rates and still retain uniform ergodicity? In this talk, we will consider a class of perturbations, that can be simply described, where a uniform estimate on convergence to an ergodic distribution can be obtained. We shall see how this is related to Ergodic BSDEs in this setting and outline some novel applications of this approach.

Location:
Speaker(s):

Sam Cohen (University of Oxford)

Date:
Monday, March 4, 2013 - 15:45
to 16:45