Invariant probability measures for a class of Feller Markov chains

DOI10.1016/S0167-7152(00)00075-4MaRDI QIDQ1590830zbMATH OpenOpenAlexFDO

Authors Oswaldo Luiz V. Costa, F. Dufour

Publication date 16 October 2001

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

Full work available at URL https://doi.org/10.1016/s0167-7152(00)00075-4

zbMATH Keywords

Feller-Markov chainsFoster-type criterioninvariant measureinvariant probability measureMarkov chains

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic stability in control theory (93E15)

Review text

In the theory of Markov chains, the problem of obtaining suitable conditions for the existence of an invariant probability measure is of great importance. This paper considers Markov chains defined on locally compact separable metric spaces and satisfying the Feller property. Feller-Markov chains, for which the associated transition probability kernel maps the space of continuous bounded functions into itself, address many problems in several areas of applications. The main purpose of the present paper is related to a result of S. Meyn and R. Tweedie (1993), which developed a Foster-type criterion to guarantee the existence of an invariant measure for Feller-Markov chains. The condition obtained by Meyn and Tweedie is proved to be sufficient, and their criterion is powerful in practice since it is easier to be checked. The authors succeed to prove also the necessity of the Foster-type criterion of Meyn and Tweedie, under a new assumption which generalizes \(T\)-chain irreducibility conditions. Under this new assumption, the Foster-type criterion is shown to be equivalent to the existence of an invariant probability measure for Feller-Markov chains, which is also equivalent to the existence of a non-singular invariant probability measure.

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Cites work

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• scientific article; zbMATH DE number 3244852 (Why is no real title available?)
• Invariant probabilities for Markov chains on a metric space
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• Stability of Piecewise-Deterministic Markov Processes

Cited in

(14)

• Invariant probabilities for Markov chains on a metric space
• Quasi-Feller Markov chains
• Drift conditions and invariant measures for Markov chains.
• Invariant probabilities for Feller-Markov chains
• Existence and uniqueness of an invariant probability for a class of Feller Markov chains
• Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
• A classification of invariant distributions and convergence of imprecise Markov chains
• On the ergodic decomposition for a class of Markov chains
• A sufficient condition for the existence of an invariant probability measure for Markov processes
• scientific article; zbMATH DE number 4084685 (Why is no real title available?)
• Invariant Probabilities with Geometric Tail
• Quasi-Feller extensions of Markov chains and existence of dual chains
• Necessary and sufficient conditions for non-singular invariant probability measures for Feller Markov chains
• An ergodic decomposition defined by transition probabilities

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