Markov chain approximation and measure change for time-inhomogeneous stochastic processes.
Kailin DingNing NingPublished in: Appl. Math. Comput. (2021)
Keyphrases
- markov chain
- stochastic process
- stochastic processes
- markov processes
- markov process
- steady state
- transition probabilities
- finite state
- monte carlo method
- monte carlo
- transition matrix
- random walk
- random fields
- state space
- stationary distribution
- probability distribution
- similarity measure
- closed form
- dynamic bayesian networks
- kalman filter