Perturbations to Markov chains and Markov processes are considered. The unperturbed problem is assumed to be geometrically ergodic in the sense usually established through the use of Foster--Lyapunov drift conditions. The perturbations are assumed to be uniform, in a weak sense, on bounded time intervals. The long-time behavior of the perturbed chain is studied. Applications are given to numerical approximations of a randomly impulsed ODE, an Itô stochastic differential equation (SDE), and a parabolic stochastic partial differential equation (SPDE) subject to space-time Brownian noise. Existing perturbation theories for geometrically ergodic Markov chains are not readily applicable to these situations since they require very stringent hypotheses on the perturbations.
|Number of pages||18|
|Journal||SIAM Journal on Numerical Analysis (SINUM)|
|Publication status||Published - 1 Jan 2000|