A note on the stability of monotone Markov chains

This note studies monotone Markov chains, a subclass of Markov chains with extensive applications in operations research and economics. While the properties that ensure the global stability of these chains are well studied, their establishment often relies on the fulfillment of a certain splitting c...

Full description

Saved in:
Bibliographic Details
Published in:Operations research letters 2024-11, Vol.57, p.107188, Article 107188
Main Author: Light, Bar
Format: Article
Language:English
Subjects:
Global stability
Markov chains
Monotone Markov chains
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This note studies monotone Markov chains, a subclass of Markov chains with extensive applications in operations research and economics. While the properties that ensure the global stability of these chains are well studied, their establishment often relies on the fulfillment of a certain splitting condition. We address the challenges of verifying the splitting condition by introducing simple, applicable conditions that ensure global stability. The simplicity of these conditions is demonstrated through various examples including autoregressive processes, portfolio allocation problems and resource allocation dynamics.
ISSN:0167-6377
DOI:10.1016/j.orl.2024.107188