Article contents
Dependence ordering for Markov processes on partially ordered spaces
Published online by Cambridge University Press: 14 July 2016
Abstract
We compare dependence in stochastically monotone Markov processes with partially ordered Polish state spaces using the concordance and supermodular orders. We show necessary and sufficient conditions for the concordance order to hold both in terms of the one-step transition probabilities for discrete-time processes and in terms of the corresponding infinitesimal generators for continuous-time processes. We give examples showing that a stochastic monotonicity assumption is not necessary for such orderings. We indicate relations between dependence orderings and, variously, the asymptotic variance-reduction effect in Monte Carlo Markov chains, Cheeger constants, and positive dependence for Markov processes.
Keywords
MSC classification
- Type
- Research Article
- Information
- Copyright
- © Applied Probability Trust 2006
Footnotes
Supported by the KBN, grant number 2P03A02023.
References
- 6
- Cited by