A new approach to the limit theory of recurrent Markov chains

Author:

Athreya K. B.,Ney P.

Abstract

Let { X n ; n 0 } \{ {X_n};\,n \geqslant 0\} be a Harris-recurrent Markov chain on a general state space. It is shown that there is a sequence of random times { N i ; i 1 } \{ {N_i};\,i \geqslant 1\} such that { X N i ;   i 1 } \{ {X_{{N_i}}};{\text { }}i \geqslant 1\} are independent and identically distributed. This idea is used to show that { X n } \{ {X_n}\} is equivalent to a process having a recurrence point, and to develop a regenerative scheme which leads to simple proofs of the ergodic theorem, existence and uniqueness of stationary measures.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference10 articles.

1. Limit theorems for semi-Markov processes and renewal theory for Markov chains;Athreya, K. B.;Ann. Probab.,1978

2. Éléments d’une théorie générale des chaînes simples constantes de Markoff;Doblin, W.;Ann. \'{E}cole Norm. (3),1940

3. Coupling methods for Markov processes;Griffeath, David,1978

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