LIMITING PROPERTIES FOR A MARKOV PROCESS GENERATED BY NONDECREASING CONCAVE FUNCTIONS ON $R_{n}^{+}$

  • Lee, Oe-Sook (Department of Statistics, Ewha Womans University)
  • Published : 1994.07.01

Abstract

Suppose ${X_n}$ is a Markov process taking values in some arbitrary space $(S, \varphi)$ with n-stemp transition probability $$ P^{(n)}(x, B) = Prob(X_n \in B$\mid$X_0 = x), x \in X, B \in \varphi.$$ We shall call a Markov process with transition probabilities $P{(n)}(x, B)$ $\phi$-irreducible for some non-trivial $\sigma$-finite measure $\phi$ on $\varphi$ if whenever $\phi(B) > 0$, $$ \sum^{\infty}_{n=1}{2^{-n}P^{(n)}}(x, B) > 0, for every x \in S.$$ A non-trivial $\sigma$-finite measure $\pi$ on $\varphi$ is called invariant for ${X_n}$ if $$ \int{P(x, B)\pi(dx) = \pi(B)}, B \in \varphi $$.

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