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user24601
  • Member for 1 year, 4 months
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Direct proof of unique invariant distribution for ergodic, positive-recurrent Markov chain
Good point! Won't necessarily be able to choose the minimiser/maximiser of the ratio
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Direct proof of unique invariant distribution for ergodic, positive-recurrent Markov chain
There is actually another proof here, on MSE: math.stackexchange.com/questions/2330328/…. Reading that, I now remember having seen it in the past. Tbh, it's kind of the same idea as the maximum principle that I outline below. But, it's more direct, not going via ranks of matrices
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Direct proof of unique invariant distribution for ergodic, positive-recurrent Markov chain
I added a few details to Step 3, for the benefit of anyone else reading this. Hopefully you're happy with them? Step 1 was simple enough that I just left it as it was
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