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1 results

  • Bounded truncation error for long-run averages in infinite Markov chains

  • Part of
  • Hendrik Baumann, Werner Sandmann
  • Journal:
    Journal of Applied Probability / Volume 52 / Issue 3 / September 2015
    Published online by Cambridge University Press:
    30 March 2016, pp. 609-621
    Print publication:
    September 2015
    • Article
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  • We consider long-run averages of additive functionals on infinite discrete-state Markov chains, either continuous or discrete in time. Special cases include long-run average costs or rewards, stationary moments of the components of ergodic multi-dimensional Markov chains, queueing network performance measures, and many others. By exploiting Foster-Lyapunov-type criteria involving drift conditions for the finiteness of long-run averages we determine suitable finite subsets of the state space such that the truncation error is bounded. Illustrative examples demonstrate the application of this method.