一维马氏链保序耦合的构造

Construction of Order-Preserving Coupling for One-Dimensional Markov Chains

  • 摘要: 本文证明两个随机可比的一维正则马氏链必定存在保序耦合并给出了保序耦合的构造,我们也研究了一类距离下的最优耦合,证明边缘马氏链随机可比时保序耦合在该距离下最优。

     

    Abstract: This paper is devoted to construct an order-preserving coupling for two regular stochastically comparable Markov chains with state space E = 0, 1,… endowed with the ordinary order. Meanwhile, for a specific type of distance p, the p-optimal Markovian couplings are studied. It is proved that the order-preserving coupling constructed in the paper is indeed p-optimal for two stochastically comparable marginal Markov chains.

     

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