Weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain.
H. M. JansenPublished in: J. Appl. Probab. (2021)
Keyphrases
- markov chain
- transition probabilities
- state space
- state transition
- monte carlo
- stochastic process
- markov processes
- steady state
- state dependent
- finite state
- markov process
- monte carlo method
- random walk
- stationary distribution
- markov model
- monte carlo simulation
- sample path
- dynamic programming
- stochastic model
- markov models
- markov chain monte carlo
- machine learning
- markov decision processes
- prior knowledge