International Journal of Stochastic Analysis

International Journal of Stochastic Analysis / 1998 / Article

Open Access

Volume 11 |Article ID 427695 | https://doi.org/10.1155/S1048953398000239

J. Keilson, O. A. Vasicek, "Monotone measures of ergodicity for Markov chains", International Journal of Stochastic Analysis, vol. 11, Article ID 427695, 6 pages, 1998. https://doi.org/10.1155/S1048953398000239

Monotone measures of ergodicity for Markov chains

Received01 Oct 1997
Revised01 Feb 1998

Abstract

The following paper, first written in 1974, was never published other than as part of an internal research series. Its lack of publication is unrelated to the merits of the paper and the paper is of current importance by virtue of its relation to the relaxation time. A systematic discussion is provided of the approach of a finite Markov chain to ergodicity by proving the monotonicity of an important set of norms, each measures of egodicity, whether or not time reversibility is present. The paper is of particular interest because the discussion of the relaxation time of a finite Markov chain [2] has only been clean for time reversible chains, a small subset of the chains of interest. This restriction is not present here. Indeed, a new relaxation time quoted quantifies the relaxation time for all finite ergodic chains (cf. the discussion of Q1(t) below Equation (1.7)]. This relaxation time was developed by Keilson with A. Roy in his thesis [6], yet to be published.

Copyright © 1998 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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