We analyse a Markov chain and perturbations of the transition probability and the one-step cost function (possibly unbounded) defined on it. Under certain conditions, of Lyapunov and Harris type, we obtain new estimates of the effects of such perturbations via an index of perturbations, defined as the difference of the total expected discounted costs between the original Markov chain and the perturbed one. We provide an example which illustrates our analysis.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am30-1-3,
author = {Ra\'ul Montes-de-Oca and Alexander Sakhanenko and Francisco Salem-Silva},
title = {Estimates for perturbations of discounted Markov chains on general spaces},
journal = {Applicationes Mathematicae},
volume = {30},
year = {2003},
pages = {39-53},
zbl = {1022.60071},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-1-3}
}
Raúl Montes-de-Oca; Alexander Sakhanenko; Francisco Salem-Silva. Estimates for perturbations of discounted Markov chains on general spaces. Applicationes Mathematicae, Tome 30 (2003) pp. 39-53. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-1-3/