On explicit form of the stationary distributions for a class of bounded Markov chains

DOI10.1017/JPR.2015.21MaRDI QIDQ2804427zbMATH OpenOpenAlexFDO

Authors Shaun McKinlay, K. Borovkov

Publication date 29 April 2016

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.1278, https://projecteuclid.org/euclid.jap/1457470571

zbMATH Keywords

beta distributionergodicitygive-and-take modelMarkov chainsrandom searchsemidegenerate kernelstationary distribution

Mathematics Subject Classification ID

Fredholm integral equations (45B05) Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Abstract: We consider a class of discrete time Markov chains with state space [0,1] and the following dynamics. At each time step, first the direction of the next transition is chosen at random with probability depending on the current location. Then the length of the jump is chosen independently as a random proportion of the distance to the respective end point of the unit interval, the distributions of the proportions being fixed for each of the two directions. Chains of that kind were subjects of a number of studies and are of interest for some applications. Under simple broad conditions, we establish the ergodicity of such Markov chains and then derive closed form expressions for the stationary densities of the chains when the proportions are beta distributed with the first parameter equal to 1. Examples demonstrating the range of stationary distributions for processes described by this model are given, and an application to a robot coverage algorithm is discussed.

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Cited in

(9)

• On the asymptotic behavior of the Diaconis-Freedman chain on \([0, 1]\)
• A metapopulation model with Markovian landscape dynamics
• On beta distributed limits of iterated linear random functions
• On the CLT for stationary Markov chains with trivial tail sigma field
• The stationary probability density of a class of bounded Markov processes
• On a class of random walks in simplexes
• A class of Markov chains with beta ergodic distributions
• scientific article; zbMATH DE number 3944985 (Why is no real title available?)
• Ergodicity of a bounded Markov chain with attractiveness towards the centre

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