Author:
Borovkov A. A.,Hordijk A.
Abstract
Normed ergodicity is a type of strong ergodicity for which convergence of the nth step transition operator to the stationary operator holds in the operator norm. We derive a new characterization of normed ergodicity and we clarify its relation with exponential ergodicity. The existence of a Lyapunov function together with two conditions on the uniform integrability of the increments of the Markov chain is shown to be a sufficient condition for normed ergodicity. Conversely, the sufficient conditions are also almost necessary.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
5 articles.
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