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Existence of bounded invariant probability densities for Markov chains

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  • Hernández-Lerma, Onésimo
  • Lasserre, Jean B.

Abstract

A Generalized Farkas' Theorem of Craven and Koliha (1977) is used to derive necessary and sufficient conditions for the existence of a bounded invariant probability density for a Markov chain.

Suggested Citation

  • Hernández-Lerma, Onésimo & Lasserre, Jean B., 1996. "Existence of bounded invariant probability densities for Markov chains," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 359-366, August.
    • Handle: RePEc:eee:stapro:v:28:y:1996:i:4:p:359-366
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    References listed on IDEAS

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    1. Baxter, J. R. & Rosenthal, Jeffrey S., 1995. "Rates of convergence for everywhere-positive Markov chains," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 333-338, March.
    2. Bhattacharya, Rabi & Lee, Chanho, 1995. "On geometric ergodicity of nonlinear autoregressive models," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 311-315, March.
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