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Statistics & Probability Letters
Volume 50, Issue 3, 15 November 2000, Pages 293-304
 
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doi:10.1016/S0167-7152(00)00114-0    How to Cite or Link Using DOI (Opens New Window)
Copyright © 2000 Elsevier Science B.V. All rights reserved.

Random motions, classes of ergodic Markov chains and beta distributions

Jordan StoyanovCorresponding Author Contact Information, E-mail The Corresponding Author, a and Christo Pirinskyb

a Department of Statistics, University of Newcastle, Newcastle upon Tyne NE1 7RU, UK b School of Business, Ohio State University, Columbus, Ohio 43210, USA

Received 1 July 1999.
Available online 11 October 2000.

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Abstract

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 Fréchet–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.

Author Keywords: Random motion; Markov chains; Fréchet–Shohat theorem; Beta distribution; Generalized arcsine law; Ergodicity; Total variation norm; Geometric convergence

Mathematical subject codes: 60J05; 60J10

Article Outline

1. Introduction
2. Purely deterministic model
3. Random models: formulation of Theorems 1–3Theorems 1–3Theorems 1–3
3.1. First random model (DR)
3.2. Second random model (RD)
3.3. Third random model (RR)
4. Proof of Theorems 1–3Theorems 1–3Theorems 1–3
5. Geometric ergodicity of the Markov chains
5.1. Ergodicity in the model (DR)
5.2. Ergodicity in the model (RR)
6. Additional comments
Acknowledgements
References

Statistics & Probability Letters
Volume 50, Issue 3, 15 November 2000, Pages 293-304
 
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