Convergence of Invariant Measures of Truncation Approximations to Markov Processes.docVIP

Applied Mathematics, 2012, 3, 2205-2215 /10.4236/am.2012.312A301 Published Online December 2012 (http://www.SciRP.org/journal/am) Convergence of Invariant Measures of Truncation Approximations to Markov Processes Andrew G. Hart , Richard L. Tweedie 1 2 Centro de Modelamiento Matemático, Facultad de Ciencias Físicas y Matemáticas, Universidad de Chile, Santiago, Chile Division of Biostatistics, School of Public Health, University of Minnesota, Minneapolis, USA Email: ahart@dim.uchile.cl 1 2 Received September 8, 2012; revised October 8, 2012; accepted October 15, 2012 ABSTRACT Let Q be the Q-matrixof an irreducible, positive recurrent Markov process on a countable state space. We show that, under a number of conditions, the stationary distributions of the n × n north-west corner augmentations of Q converge in total variation to the stationary distribution of the process. Twoconditions guaranteeing such convergence include exponential ergodicity and stochastic monotonicity of the process. The same also holds for processes dominated by a stochastically monotone Markov process. In addition, we shall show that finite perturbations of stochastically monotone processes may be viewed as being dominated by a stochastically monotone process, thus extending the scope of these results to a larger class of processes. Consequently, the augmentation method provides an attractive, intuitive method for approximating the stationary distributions of a large class of Markov processes on countably infinite state spaces from a finite amount of known information. Keywords: Invariant Measure; Truncation Approximation; Augmentation; Exponential Ergodicity; Stochastic Monotonicity; Markov Process 1. Introduction semi-group. an analytic semi-group is characterised by three properties: F is the identity matrix, the row sums of F are less than or equal to unity and F ? equal to