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Lookup NU author(s): Dr Jordan Stoyanov
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We consider classes of discrete time Markov chains with continuous state space, the interval (0, 1). These chains arise as stochastic models of phenomena in areas such as population theory, motion of particles in a random environment, etc. We exploit the Frechet-Shohat theorem to establish that these Markov chains are ergodic and find explicitly their ergodic distributions as being beta distributions. Then we show that the convergence in total variation norm is at a geometric rate. Related topics are also discussed. (C) 2000 Elsevier Science B.V. All rights reserved MSG: 60J05; 60J10.
Author(s): Stoyanov J; Pirinsky C
Publication type: Article
Publication status: Published
Journal: Statistics & Probability Letters
Year: 2000
Volume: 50
Issue: 3
Pages: 293-304
ISSN (print): 0167-7152
ISSN (electronic):
Publisher: Elsevier B.V.
URL: http://dx.doi.org/10.1016/S0167-7152(00)00114-0
DOI: 10.1016/S0167-7152(00)00114-0
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