| 马氏链平稳分布存在与唯一性的简洁证明与计算 |
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| 引用本文： | 王连球. 马氏链平稳分布存在与唯一性的简洁证明与计算[J]. 数学理论与应用, 2007, 27(1): 40-43 |
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| 作者姓名： | 王连球 |
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| 作者单位： | 中南大学 长沙410083 |
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| 摘 要： | 本文考虑可数状态离散时间齐次马氏链平稳分布的存在与唯一性.放弃以往大多数文献中要求马氏链是不可约,正常返且非周期(即遍历)的条件,本文仅需要马氏链是不可约和正常返的(但可能是周期的,因而可能是非遍历的).在此较弱的条件下,本文不仅给出了平稳分布存在与唯一性的简洁证明,而且还给出了平稳分布的计算方法.
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| 关 键 词： | 齐次马氏链 不可约 平稳分布 存在与唯一 简洁证明 |
| 文章编号： | 24259701 |
| 修稿时间： | 2006-06-21 |
Concise Proof and Computation o Existence and Uniqueness of the Stationary Distribution Markov Chains |
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| Wang Lianqiu. Concise Proof and Computation o Existence and Uniqueness of the Stationary Distribution Markov Chains[J]. Mathematical Theory and Applications, 2007, 27(1): 40-43 |
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| Authors: | Wang Lianqiu |
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| Affiliation: | Central South University,Changsha, 410083 |
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| Abstract: | Existence and uniqueness of the stationary distribution of countable discrete time homogeneous Markov chains is discussed in this paper.The requirement that the Markov chain should be irreducible,postitive recurrent and aperiodic is lifted.The Markov chain needs only to be irreducible,positive recurrent(and maybe periodic and thus not ergodic).Under this weak condition,this paper gives not only a concise proof of the existence and uniqueness of the stationary distribution,and also the the computation method of the stationary distribution. |
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| Keywords: | homogeneous markov chain irreducible stationary distribution existence and uniqueness concise proof |
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