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Existence and uniqueness of an invariant probability for a class of Feller Markov chains
Authors:Jean B Lasserre
Institution:(1) LAAS-CNRS, 7 Av. Colonel Roche, 31 007 Toulouse Cédex, France
Abstract:We consider the class of Feller Markov chains on a phase spaceX whose kernels mapC 0 (X), the space of bounded continuous functions that vanish at infinity, into itself. We provide a necessaryand sufficient condition for the existence of an invariant probability measure using a generalized Farkas Lemma. This condition is a Lyapunov type criterion that can be checked in practice. We also provide a necessaryand sufficient condition for existence of aunique invariant probability measure. When the spaceX is compact, the conditions simplify.
Keywords:Feller Markov chains  invariant measures  linear systems  Farkas lemma
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