# Markov chain, ergodic

A homogeneous Markov chain $\xi ( t)$ with the following property: There are quantities (independent of $i$)

$$\tag{1 } p _ {j} = \lim\limits _ {t \rightarrow \infty } p _ {ij} ( t) ,\ \ \sum _ { j } p _ {j} = 1 ,$$

where

$$p _ {ij} ( t) = {\mathsf P} \{ \xi ( t) = j \mid \xi ( 0) = i \}$$

are the transition probabilities. The distribution $\{ p _ {j} \}$ on the state space of the chain $\xi ( t)$ is called a stationary distribution: If ${\mathsf P} \{ \xi ( 0) = j \} = p _ {j}$ for all $j$, then ${\mathsf P} \{ \xi ( t) = j \} = p _ {j}$ for all $j$ and $t \geq 0$. A fundamental property of Markov chains,

$${\mathsf P} \{ \xi ( t) = j \} = \ \sum _ { i } {\mathsf P} \{ \xi ( 0) = i \} p _ {ij} ( t) ,$$

enables one to find the $\{ p _ {j} \}$ without calculating the limits in (1).

Let

$$\tau _ {jj} = \min \ \{ {t \geq 1 } : {\xi ( t) = j \mid \xi ( 0) = j } \}$$

be the moment of first return to the state $j$( for a discrete-time Markov chain), then

$${\mathsf E} \tau _ {jj} = p _ {j} ^ {-} 1 .$$

A similar (more complicated) relation holds for a continuous-time Markov chain.

The trajectories of an ergodic Markov chain satisfy the ergodic theorem: If $f ( \cdot )$ is a function on the state space of the chain $\xi ( t)$, then, in the discrete-time case,

$${\mathsf P} \left \{ \lim\limits _ {n \rightarrow \infty } \ \frac{1}{n} \sum _ { t= } 0 ^ { n } f ( \xi ( t) ) = \sum _ { i } p _ {j} f ( j) \right \} = 1 ,$$

while in the continuous-time case the sum on the left is replaced by an integral. A Markov chain for which there are $\rho < 1$ and $C _ {ij} < \infty$ such that for all $i , j , t$,

$$\tag{2 } | p _ {ij} ( t) - p _ {j} | \leq C _ {ij} \rho ^ {t} ,$$

is called geometrically ergodic. A sufficient condition for geometric ergodicity of an ergodic Markov chain is the Doeblin condition (see, for example, ), which for a discrete (finite or countable) Markov chain may be stated as follows: There are an $n < \infty$ and a state $j$ such that $\inf _ {i} p _ {ij} ( n) = \delta > 0$. If the Doeblin condition is satisfied, then for the constants in (2) the relation $\sup _ {i,j} C _ {ij} = C < \infty$ holds.

A necessary and sufficient condition for geometric ergodicity of a countable discrete-time Markov chain is the following (see ): There are numbers $f ( j)$, $q < 1$ and a finite set $B$ of states such that:

$${\mathsf E} \{ f ( \xi ( 1) ) \mid \xi ( 0) = i \} \leq q f ( i) ,\ i \notin B ,$$

$$\max _ {i \in B } {\mathsf E} \{ f ( \xi ( 1) ) \mid \xi ( 0) = i \} < \infty .$$

How to Cite This Entry:
Markov chain, ergodic. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Markov_chain,_ergodic&oldid=47767
This article was adapted from an original article by A.M. Zubkov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article