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Orthogonal measures and absorbing sets for Markov chains

Published online by Cambridge University Press:  01 January 1997

PEI-DE CHEN
Affiliation:
Department of Statistics, Colorado State University, Fort Collins, Colorado 80523, United States of America
R. L. TWEEDIE
Affiliation:
Department of Statistics, Colorado State University, Fort Collins, Colorado 80523, United States of America

Abstract

For a general state space Markov chain on a space (X, [Bscr ](X)), the existence of a Doeblin decomposition, implying the state space can be written as a countable union of absorbing ‘recurrent’ sets and a transient set, is known to be a consequence of several different conditions all implying in some way that there is not an uncountable collection of absorbing sets. These include

([Mscr ]) there exists a finite measure which gives positive mass to each absorbing subset of X;

([Gscr ]) there exists no uncountable collection of points (xα) such that the measures Kθ(xα, ·)[colone ](1−θ)ΣPn(xα, ·)θn are mutually singular;

([Cscr ]) there is no uncountable disjoint class of absorbing subsets of X.

We prove that if [Bscr ](X) is countably generated and separated (distinct elements in X can be separated by disjoint measurable sets), then these conditions are equivalent. Other results on the structure of absorbing sets are also developed.

Type
Research Article
Copyright
© Cambridge Philosophical Society 1997

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Footnotes

Work supported in part by NSF Grant DMS-9205687 and the K. C. Wang Foundation (Hong Kong).