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Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space

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  • Tweedie, Richard L.

Abstract

Let {Xn} be a [empty set][combining character]-irreducible Markov chain on an arbitrary space. Sufficient conditions are given under which the chain is ergodic or recurrent. These extend known results for chains on a countable state space. In particular, it is shown that if the space is a normed topological space, then under some continuity conditions on the transition probabilities of {Xn} the conditions for ergodicity will be met if there is a compact set K and an [epsilon] > 0 such that E {||Xn+1|| -- ||Xn|| | Xn = x} [less-than-or-equals, slant] -[epsilon] whenever x lies outside K and E{||Xn+1|| | Xn=x} is bounded, x [set membership, variant] K; whilst the conditions for recurrence will be met if there exists a compact K with E {||Xn+1|| - ||Xn|| | Xn = x} [less-than-or-equals, slant] 0 for all x outside K. An application to queueing theory is given.

Suggested Citation

  • Tweedie, Richard L., 1975. "Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space," Stochastic Processes and their Applications, Elsevier, vol. 3(4), pages 385-403, October.
  • Handle: RePEc:eee:spapps:v:3:y:1975:i:4:p:385-403
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