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Necessary and Sufficient Conditions for Stability of Finite State Markov Chains

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Author Info
John Stachurski () (Department of Economics, University of Melbourne)

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Abstract

This note considers finite state Markov chains which overlap supports. While the overlapping supports condition is known to be necessary and sufficient for stability of these chains, the result is typically presented in a more general context. As such, one objective of the note is to provide an exposition, along with simple proofs corresponding to the finite case. Second, the note provides an additional equivalent condition which should be useful in applications.

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File URL: http://www.kier.kyoto-u.ac.jp/DP/DP614.pdf
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Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 614.

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Length: 6pages
Date of creation: Apr 2006
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Handle: RePEc:kyo:wpaper:614

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  1. Stachurski, John, 2003. "Economic dynamical systems with multiplicative noise," Journal of Mathematical Economics, Elsevier, vol. 39(1-2), pages 135-152, February. [Downloadable!] (restricted)
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