Existence of bounded invariant probability densities for Markov chains

DOI10.1016/0167-7152(95)00146-8MaRDI QIDQ1922140zbMATH OpenOpenAlexWikidataFDO

Authors Onésimo Hernández-Lerma, Jean B. Lasserre

Publication date 25 November 1996

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(95)00146-8

zbMATH Keywords

invariant probability densityLyapunov criterion for stochastic stabilityMarkov chains

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27)

Review text

The existence of invariant probability density is usually approached by finding an invariant probability measure and then showing that it has a density. Here the problem is approached directly and the basic idea is to pose it as a ``linear system problem and then to use the generalized Farkas theorem of \textit{B. D. Craven} and \textit{J. J. Koliha} [SIAM J. Math. Anal. 8, 983-997 (1977; Zbl 0408.52006)] in order to obtain necessary and sufficient conditions for the existence of solutions to the linear system. The resulting existence criterion turns out to be similar to the Lyapunov criterion for stochastic ``stability.

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Cites work

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• scientific article; zbMATH DE number 3806227 (Why is no real title available?)
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• scientific article; zbMATH DE number 3396593 (Why is no real title available?)
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Cited in

(6)

• Malliavin calculus and regularity of the density of an invariant probability for a Markov chain
• Invariant probabilities for Markov chains on a metric space
• A sufficient condition for the existence of an invariant probability measure for Markov processes
• On the existence of invariant densities for Markov operators
• Invariant Probabilities with Geometric Tail
• An existence theorem for probability measures invariant under a Markov kernel

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