Perturbation and Sensitivity of Inhomogeneous Markov Chains in Dynamic Environments

Manuela Bujorianu, Robert Mackay
In this paper, we study robustness problems of inhomogeneous Markov chains in dynamic environments. First, we define the natural distributions of nonstationary Markov chains as a sequence of probability distributions, which represents a non-autonomous dynamical system on a suitable state space. Then, we study the robustness and sensitivity analysis of these distributions under the assumption of geometric ergodicity of the underlying Markov chain.