Stability Estimates for Finite-Dimensional Distributions of Time-Inhomogeneous Markov Chains

Abstract

This paper is devoted to the study of the stability of finite-dimensional distribution of time-inhomogeneous, discrete-time Markov chains on a general state space. The main result of the paper provides an estimate for the absolute difference of finite-dimensional distributions of a given time-inhomogeneous Markov chain and its perturbed version. By perturbation, we mean here small changes in the transition probabilities. Stability estimates are obtained using the coupling method.

Keywords

• finite-dimensional distributions
• markov chains
• coupling method
• stability