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Finite non-homogeneous Markov chains: Asymptotic behaviour

Published online by Cambridge University Press:  01 July 2016

Harry Cohn
Harry Cohn*
Affiliation:
Australian National University
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Abstract

The paper is concerned with aspects of the behaviour of the products of finite stochastic matrices, the methods used in the proofs being of a probabilistic nature. The main result of the paper (Theorem 1) presents a general picture of the asymptotic behaviour of the transition probabilities between various groups of states. A unified treatment of some results of non-homogeneous Markov chain theory pertaining to weak ergodicity is then given.

Keywords

STOCHASTIC MATRICESNON-HOMOGENEOUS MARKOV CHAINTAIL σ-FIELDATOMIC SETMARTINGALESσ-FIELD COMPLETIONWEAK ERGODICITY

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 8 , Issue 3 , September 1976, pp. 502 - 516
Copyright
Copyright © Applied Probability Trust 1976 

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