A note on discontinuous time changes of Markov processes

A Note on “The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes” by Han and Tsung

We analyze the article by Han and Tsung (2009) “The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes,” and demonstrate that it is seriously flawed.

On Large Deviations of Markov Processes 1 with Discontinuous

This paper establishes a process-level large deviations principle for Markov processes in the Euclidean space with a discontinuity in the transition mechanism along a hyper-plane. The transition mechanism of the process is assumed to be continuous on one closed halfspace, and also continuous on the complementary open halfspace. Similar results were recently obtained for discrete time processes ...

ON THE INFINITE ORDER MARKOV PROCESSES

The notion of infinite order Markov process is introduced and the Markov property of the flow of information is established.

Discrete Time Markov Processes

What follows is a quick survey of the main ingredients in the theory of discrete-time Markov processes. It is a birds' view, rather than the deenitive \state of the art." To maximize accessibility, the nomenclature of mathematical probability is avoided, although rigor is not sacriiced. To compensate, examples (and counterexamples) abound and the bibliography is annotated. Relevance to control ...

Note on stability estimation in average Markov control processes