Convergence of locally and globally interacting Markov chains
نویسنده
چکیده
We study the long run behaviour of interactive Markov chains on in1nite product spaces. In view of microstructure models of 1nancial markets, the interaction has both a local and a global component. The convergence of such Markov chains is analyzed on the microscopic level and on the macroscopic level of empirical 1elds. We give su5cient conditions for convergence on the macroscopic level. Using a perturbation of the Dobrushin–Vasserstein contraction technique we show that macroscopic convergence implies weak convergence of the underlying Markov chain. This extends the basic convergence theorem of Vasserstein for locally interacting Markov chains to the case where an additional global component appears in the interaction. c © 2001 Elsevier Science B.V. All rights reserved. MSC: 60K35; 60J10; 60J20
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