On the ergodic decomposition for a class of Markov chains

DOI10.1016/J.SPA.2004.10.002MaRDI QIDQ2485833zbMATH OpenOpenAlexFDO

Authors Oswaldo Luiz V. Costa, F. Dufour

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2004.10.002

zbMATH Keywords

countable ergodic decompositionFoster-Lyapunov criterioninvariant probability measuresseparability assumptionT-chainsT\('\)-condition

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov and semi-Markov decision processes (90C40) Stochastic stability in control theory (93E15)

Review text

This paper focuses on the question of the ergodic decomposition of Markov chains and the existence of invariant probability measures for Markov chains. For discrete-time Markov chains, there are known sufficient conditions, based on a Foster-Lyapunov type criterion, for a given Markov chain on a general state space to have an invariant probability measure (S. Meyn and R. Tweedie; 1993). Continuing their previous work (2000), the authors propose an answer to the question of necessary conditions holding for the above mentioned problem. There are explored further properties of the so-called T\('\)-condition that represents an abstract generalization of T-chains and irreducible chains (since T-chains and irreducible chains satisfy T\('\)-condition but the reverse may not be true). Under no separability assumption on the \(\sigma\)-field (of the Markov chain defined on a measurable space), the paper proves that the T\('\)-condition is sufficient for the requirement that there are no uncountable disjoint absorbing sets and, under some hypothesis, T\('\)-condition is also necessary. For the case when \(\sigma\)-field is countably generated and separated, the T\('\)-condition is equivalent to the existence of a T-continuous component (everywhere non-trivial) for the considered Markov chain. Furthermore, under the assumption that the space is a compact separable metric one, it is shown that the Foster-Lyapunov criterion represents a necessary and sufficient condition for the existence of an invariant probability measure for the Markov chain, and that every probability measure for the Markov chain is non-singular, in this case.

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Cited in

(14)

• Ergodic theorems and ergodic decomposition for Markov chains
• Ergodic decompositions associated with regular Markov operators on Polish spaces
• A sufficient condition for the existence of an invariant probability measure for Markov processes
• scientific article; zbMATH DE number 27013 (Why is no real title available?)
• scientific article; zbMATH DE number 475324 (Why is no real title available?)
• scientific article; zbMATH DE number 519997 (Why is no real title available?)
• Orthogonal measures and absorbing sets for Markov chains
• The existence of invariant measure for Markov chains with uniform countable additivity
• Ergodic properties and ergodic decompositions of continuous-time Markov processes
• Necessary and sufficient conditions for non-singular invariant probability measures for Feller Markov chains
• Layered networks, equilibrium dynamics, and stable coalitions
• Correction to: ``Layered networks, equilibrium dynamics, and stable coalitions
• An ergodic decomposition defined by regular jointly measurable Markov semigroups on Polish spaces
• An ergodic decomposition defined by transition probabilities

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