Maximal coupling procedure and stability of discrete Markov chains. II

Kartashov, M.; Golomozyĭ, V.

doi:10.1090/S0094-9000-2014-00905-9

Maximal coupling procedure and stability of discrete Markov chains. II

Authors: M. V. Kartashov and V. V. Golomozyĭ
Translated by: S. Kvasko
Journal: Theor. Probability and Math. Statist. 87 (2013), 65-78
MSC (2010): Primary 60J45; Secondary 60A05, 60K05
DOI: https://doi.org/10.1090/S0094-9000-2014-00905-9
Published electronically: March 21, 2014
MathSciNet review: 3241447
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Abstract: Two discrete Markov chains whose one-step transition probabilities are close to each other in the uniform total variation norm or in the $V$-norm are considered. The problem of stability of the transition probabilities over an arbitrary number of steps is investigated. The main assumption is that either the uniform mixing or $V$-mixing condition holds. In particular, we prove that the uniform distance between the distributions of the chains after an arbitrary number of steps does not exceed $\varepsilon /(1-\rho )$, where $\varepsilon$ is the uniform distance between the transition matrices and where $\rho$ is the uniform mixing coefficient. A number of general examples are considered. The proofs are based on the maximal coupling procedure that maximizes the one-step coupling probabilities.

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