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A variation principle for general Markov chain

2018-04-27 13:48    
主题:
A variation principle for general Markov chain
时间:
2018-04-27 15:00-15:40
地点:
天津大学6号楼108教室
主讲人:
毛永华

主讲人简介

北京师范大学教授

演讲内容介绍

We first recall some Dirichlet principles for Markov processes, especially for non-symmetric diffusion processes and Markov chains.  We will then show how this classical method can work for a (non-symmetric) Markov chain Pon a general state space, and obtain a Dirichlet principle for the solution of the general Poisson equation. The formula depends on the solution of the Poisson equation of P*, the dual Markov chain through an excessive measure. Some comparison theorems are presented.

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