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Interval-valued finite Markov chains. (English) Zbl 1001.65007
The authors develop the theory of interval valued probabilities in the framework of finite Markov chains when the elements of the transition matrix are given by intervals between lower and upper probabilities. It is shown how to find a conventional transition matrix with elements lying with the given bounds by solving of a linear programming problem. Ergodicity conditions for the chains with interval-valued transition functions are also found.

MSC:
65C40 Numerical analysis or methods applied to Markov chains
60J22 Computational methods in Markov chains
65G30 Interval and finite arithmetic
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