Ergodic Theorems for discrete Markov chains

arXiv1707.08827MaRDI QIDQ6289499FDOQ6289499

Authors: Nikolaos Halidias 

Publication date: 27 July 2017

Abstract: Let $X_n$ be a discrete time Markov chain with state space $S$ (countably infinite, in general) and initial probability distribution $m{u}^{(0)}=(P(X_0=i_1),P(X_0=i_2),cdots,)$. What is the probability of choosing in random some $kinmathbbN$ with $kleqn$ such that $X_k=j$ where $jinS$? This probability is the average $frac1nsu{m}_{k=1}^{n}m{u}_j^{(k)}$ where $m{u}_j^{(k)}=P(X_k=j)$. In this note we will study the limit of this average without assuming that the chain is irreducible, using elementary mathematical tools. Finally, we study the limit of the average $frac1nsu{m}_{k=1}^{n}g(X_k)$ where $g$ is a given function for a Markov chain not necessarily irreducible.

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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