Existence and uniqueness of quasi-stationary and quasi-ergodic measures for absorbing Markov chains: A Banach lattice approach

Existence and uniqueness of quasi-stationary and quasi-ergodic measures for absorbing Markov chains: A Banach lattice approach

We establish the existence and uniqueness of quasi-stationary and quasi-ergodic measures for almost surely absorbed discrete-time Markov chains under weak conditions. We obtain our results by exploiting Banach lattice properties of transition functions under natural regularity assumptions.

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Veröffentlicht in:Stochastic processes and their applications 2024-07, Vol.173, p.104364, Article 104364
Hauptverfasser: Castro, Matheus M., Lamb, Jeroen S.W., Olicón-Méndez, Guillermo, Rasmussen, Martin
Format: Artikel
Sprache:eng
Schlagworte:
Banach lattice
Markov chains with absorption
Quasi-ergodic measure
Quasi-stationary measure
Yaglom limit
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Zusammenfassung:We establish the existence and uniqueness of quasi-stationary and quasi-ergodic measures for almost surely absorbed discrete-time Markov chains under weak conditions. We obtain our results by exploiting Banach lattice properties of transition functions under natural regularity assumptions.
ISSN:0304-4149
1879-209X
DOI:10.1016/j.spa.2024.104364