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MIT18 445S15 Lecture13

This document summarizes key concepts from a lecture on countable state space Markov chains: 1) A Markov chain has a stationary distribution if there exists a probability measure π such that π = πP. 2) If a Markov chain is positive recurrent and irreducible, there exists a unique stationary distribution π where π(x) is the reciprocal of the expected return time to state x. 3) If a Markov chain is positive recurrent, irreducible, and aperiodic, the probability of being in any state y converges to the stationary distribution π(y) as n approaches infinity.

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JOSE MIGUEL RIVERA HUINCHO
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76 views6 pages

MIT18 445S15 Lecture13

This document summarizes key concepts from a lecture on countable state space Markov chains: 1) A Markov chain has a stationary distribution if there exists a probability measure π such that π = πP. 2) If a Markov chain is positive recurrent and irreducible, there exists a unique stationary distribution π where π(x) is the reciprocal of the expected return time to state x. 3) If a Markov chain is positive recurrent, irreducible, and aperiodic, the probability of being in any state y converges to the stationary distribution π(y) as n approaches infinity.

Uploaded by

JOSE MIGUEL RIVERA HUINCHO
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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18.

445 Introduction to Stochastic Processes


Lecture 13: Countable state space chains 2

Hao Wu

MIT

1 April 2015

Hao Wu (MIT) 18.445 1 April 2015 1/5


Recall Suppose that P is irreducible.
The Markov chain is recurrent if and only if

Px [τx+ < ∞] = 1, for some x.

The Markov chain is positive recurrent if and only if

Ex [τx+ ] < ∞, for some x.

Today’s Goal
stationary distribution
convergence to stationary distribution

Hao Wu (MIT) 18.445 1 April 2015 2/5


Stationary distribution

Theorem
An irreducible Markov chain is positive recurrent if and only if there
exists a probability measure π on Ω such that π = πP.

Corollary
If an irreducible Markov chain is positive recurrent, then
there exists a probability measure π such that π = πP ;
π(x) > 0 for all x. In fact,

1
π(x) = .
Ex [τx+ ]

Hao Wu (MIT) 18.445 1 April 2015 3/5


Convergence to the stationary

Theorem
If an irreducible Markov chain is positive recurrent and aperiodic, then

lim Px [Xn = y ] = π(y ) > 0, for all x, y .


n

Theorem
If an irreducible Markov chain is null recurrent, then

lim Px [Xn = y ] = 0, for all x, y .


n

Hao Wu (MIT) 18.445 1 April 2015 4/5


Convergence to the stationary

Recall Consider a Markov chain with state space Ω (countable) and


transition matrix P. For each x ∈ Ω, define

T (x ) = {n ≥ 1 : P n (x, x) > 0}.

Then
gcd(T (x)) = gcd(T (y )), for all x, y .
We say the chain is aperiodic if gcd(T (x)) = 1.
Theorem
Suppose that the Markov chain is irreducible and aperiodic. If the chain
is positive recurrent, then

lim ||P n (x, ·) − π||TV = 0.


n

Hao Wu (MIT) 18.445 1 April 2015 5/5


MIT OpenCourseWare
http://ocw.mit.edu

18.445 Introduction to Stochastic Processes


Spring 2015

For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms.

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