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Ergodicity of Markov Processes via Nonstandard Analysis.

Ergodicity of Markov Processes via Nonstandard Analysis.

・ISBN 978-1-4704-5002-1 paper US$ 85.00

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お気に入り
著者・編者Duanmu, Haosui / Rosenthal, Jeffrey S. / Weiss, William,
シリーズMemoirs of the American Mathematical Society
出版社(American Mathematical Society, US)
出版年月2022
言語ENG
ニュース番号<M25-13831>

解説

The Markov chain ergodic theorem is well-understood if either the time-line or the state space is discrete. However, there does not exist a very clear result for general state space continuous-time Markov processes. Using methods from mathematical logic and nonstandard analysis, we introduce a class of hyperfinite Markov processes-namely, general Markov processes which behave like finite state space discrete-time Markov processes. We show that, under moderate conditions, the transition probability of hyperfinite Markov processes align with the transition probability of standard Markov processes. The Markov chain ergodic theorem for hyperfinite Markov processes will then imply the Markov chain ergodic theorem for general state space continuous-time Markov processes.