Existence and uniqueness of an invariant probability for a class of Feller Markov chains |
| |
Authors: | Jean B. Lasserre |
| |
Affiliation: | (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 mapC0(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 |
本文献已被 SpringerLink 等数据库收录! |
|