A formula for singular perturbations of Markov chains
- 1 March 1994
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 31 (03), 829-833
- https://doi.org/10.1017/s0021900200045381
Abstract
We give formulas for updating both the steady-state probability distribution and the fundamental matrices of a singularly perturbed Markov chain. This formula generalizes Schweitzer's regular perturbation formulas to the case of singular perturbations.Keywords
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