Timeline for Markov chains: invariant measures and explosion
Current License: CC BY-SA 3.0
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| Aug 25, 2012 at 7:46 | comment | added | Nathanael Berestycki | Dear Robert, Thanks for your comments and sorry for long time in response. I am not totally comfortable with the derivation of your equation. I always thought this process would satisfy the Kolmogorov backward and forward equations - without being the minimal solution. See, for instance, section 2.9 in James Norris' book on Markov chains. But you may well be right - in which case the question of "what is this invariant measure" is even more puzzling to me ! | |
| Aug 21, 2012 at 18:56 | history | answered | Robert Israel | CC BY-SA 3.0 |