ISIPTA'09 - SIXTH INTERNATIONAL SYMPOSIUM ON
IMPRECISE PROBABILITY: THEORIES AND APPLICATIONS

Durham University, Department of Mathematical Sciences
Durham, United Kingdom
Tuesday 14 to Saturday 18 July 2009

ELECTRONIC PROCEEDINGS

Damjan Škulj, Robert Hable

Coefficients of Ergodicity for Imprecise Markov Chains

Abstract

Coefficients of ergodicity are an important tool in measuring convergence of Markov chains. We explore possibilities to generalise the concept to imprecise Markov chains. We find that this can be done in at least two different ways, which both have interesting implications in the study of convergence of imprecise Markov chains. Thus we extend the existing definition of the uniform coefficient of ergodicity and define a new so-called weak coefficient of ergodicity. The definition is based on the endowment of a structure of a metric space to the class of imprecise probabilities. We show that this is possible to do in some different ways, which turn out to coincide.

Keywords. Markov chain, imprecise Markov chain, coefficient of ergodicity, lower expectation, upper expectation

Paper Download

The paper is availabe in the following formats:

Plenary talk : Press here to get the file of the presentation.

Poster : Press here to get the file of the poster.


Authors addresses:

Damjan Škulj
Faculty of Social Sciences
University of Ljubljana
Kardeljeva ploščad 5
1000 Ljubljana
Slovenia

Robert Hable
Department of Mathematics
University of Bayreuth
D-95440 Bayreuth
Germany

E-mail addresses:

Damjan Škulj damjan.skulj@fdv.uni-lj.si
Robert Hable Robert.Hable@uni-bayreuth.de


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