On the ergodic decomposition for a class of Markov chains
In this paper we present sufficient conditions for the Doeblin decomposition, and necessary and sufficient conditions for an ergodic decomposition for a Markov chain satisfying a T'-condition, which is a condition adapted from the paper (Statist. and Probab. Lett. 50 (2000) 13). Under no separability assumption on the [sigma]-field, it is shown that the T'-condition is sufficient for the condition that there are no uncountable disjoint absorbing sets and, under some hypothesis, it is also necessary. For the case in which the [sigma]-field is countable generated and separated, this condition is equivalent to the existence of a T continuous component for the Markov chain. Furthermore, under the assumption that the space is a compact separable metric space, it is shown that the Foster-Lyapunov criterion is necessary and sufficient for the existence of an invariant probability measure for the Markov chain, and that every probability measure for the Markov chain is, in this case, non-singular.
Volume (Year): 115 (2005)
Issue (Month): 3 (March)
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- Costa, O. L. V. & Dufour, F., 2000. "Invariant probability measures for a class of Feller Markov chains," Statistics & Probability Letters, Elsevier, vol. 50(1), pages 13-21, October.
- Tweedie, R. L., 2001. "Drift conditions and invariant measures for Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 345-354, April.
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