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Invariant probability measure

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Definition

StochasticProcesses

For a Markov chain with transition probability $P$ , a σ-finite probability measure $\pi$ on $\mathcal{B}(\mathbb{X})$ with the property $\pi(A)=\int\limits _{\mathbb{X}}P(x,A)\pi(dx)$ is called invariant.

Linked from

Positive Harris Recurrent

Uniquely Ergodic

Construction of Invariant measure

Existence of Invariant measure

Feller condition for invariant measure

Foster-Lyapunov Theorems

Kac's Lemma

Uniqueness of invariant measure