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No 757: Perturbed Markov Chains

Nicolas VIEILLE and Eilon SOLAN
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Eilon SOLAN: Kellogg School of Management, Northwestern University

Abstract: We obtain results on the sensitivity of the invariant measure and other statistical quantities of a Markov chain with respect to perturbations of the transition matrix. We use graph-theoretic techniques, in contrast with the matrix analysis techniques previously used.

Keywords: perturbed markov chains; conductance

JEL-codes: C44

19 pages, February 24, 2002

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