Numerical Computation of Distributions in Finite-State Inhomogeneous Continuous Time Markov Chains, Based on Ergodicity Bounds and Piecewise Constant Approximation

Abstract

In this paper it is shown, that if a possibly inhomogeneous Markov chain with continuous time and finite state space is weakly ergodic and all the entries of its intensity matrix are locally integrable, then, using available results from the perturbation theory, its time-dependent probability characteristics can be approximately obtained from another Markov chain, having piecewise constant intensities and the same state space. The approximation error (the taxicab distance between the state probability distributions) is provided. It is shown how the Cauchy operator and the state probability distribution for an arbitrary initial condition can be calculated. The findings are illustrated with the numerical examples.