Markov Chains with Random Transition Probabilities

Abstract

In this chapter we consider a Markov chain {ξ k , k ∈ Z +} having a finite state space but random transition probabilities. Of interest here is the asymptotic behavior of the chain and its transition probabilities as n → ∞ under the assumption that the transition probabilities of the Markov chain are close to those of a homogeneous Markov chain having nonrandom transition probabilities.