Stationary distributions and ergodicity of reflection-type Markov chains

Yujie Liu, Minwen Niu, Dacheng Yao and Hanqin Zhang

Statistics & Probability Letters, 2022, vol. 189, issue C

Abstract: We consider a reflection-type Markov chain which is usually used to characterize some process features in stochastic control and operations management. The existence of its stationary distributions is established by proving it to be the Feller chain, and its ergodicity is obtained by constructing the small set. Furthermore, for the non-ergodic case, the system dynamics are completely characterized.

Keywords: Markov chain; Ergodicity; Stationary distribution; Feller chain; Small set (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109597

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