On a Stein method based approximation for a two-dimensional Markov chain
Volume 49 / 2022
Applicationes Mathematicae 49 (2022), 147-163
MSC: Primary 60J22; Secondary 35Q62.
DOI: 10.4064/am2468-11-2022
Published online: 2 January 2023
Abstract
We study an approximation method of stationary characters of a two-dimensional Markov chain via the Stein method. For this purpose, innovative methods are developed to estimate the moments of the Markov chain as well as the solution to the Poisson equation with a partial differential operator.
