Invariant probabilities for Markov chains on a metric space

Jean B. Lasserre

Statistics & Probability Letters, 1997, vol. 34, issue 3, 259-265

Abstract: We consider Markov kernels on a locally compact separable metric space that satisfy the (weak) Feller property. We provide a very simple necessary and sufficient condition for existence of an invariant probability measure. We also prove that every Feller Markov kernel on a compact Hausdorff (not necessarily metric) has an invariant probability measure. An alternative sample-path criterion of existence is also provided, as well as a sufficient condition for uniqueness.

Keywords: Feller; Markov; chains; Invariant; probability; measures (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (3)

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