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Results tagged with markov-chains
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user 509687
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Direct proof of unique invariant distribution for ergodic, positive-recurrent Markov chain
I posted the following question on MSE, feeling that it perhaps isn't research level mathematics, but didn't get any bites. So, I am crossposting here.
The following ergodic theorem is well known.
Er …
- 165
7
votes
Direct proof of unique invariant distribution for ergodic, positive-recurrent Markov chain
I came across another proof, by chance, for finite $I$. I saw this in old lecture notes by Peres on mixing times: Mixing for Markov Chains and Spin Systems (2005).
Definition (Harmonic). A function $ …
- 165