FIND ME ON

GitHub

LinkedIn

Convergence to Equilibrium

🌱

Definition
StochasticProcesses

Let {Xi}i=0āˆž\{X_{i}\}^{\infty}_{i=0} be a MC with an arbitrary initial distribution Ī»\lambda and transition matrix PP. If PP is 1. irreducible 2. aperiodic 3. has an invariant distribution (or is positive recurrent) then sup⁔j∈S∣P(Xn=j)āˆ’Ļ€jāˆ£ā†’0,\mboxasnā†’āˆž\sup_{j\in S}|P(X_{n}=j)-\pi_{j}|\to0,\mbox{ as }n\to\infty.

As a result, pij(n)→πjp_{ij}^{(n)}\to\pi_{j} for any i,j∈Si,j\in S.

Let {Xt:t≄0}∼\mboxMarkov(Ī»,Q)\{X_{t}:t\ge0\}\sim\mbox{Markov}(\lambda,Q). If the jump chain {Yn:n≄0}\{Y_{n}:n\ge0\} is irreducible, and QQ has an invariant distribution Ļ€\pi, then for all i,j∈Ii,j\in I, lim⁔tā†’āˆžpij(t)=Ļ€j\lim_{t\to\infty}p_{ij}(t)=\pi_{j}

Linked from