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A limit theorem for Markov chains with continuous state space

Published online by Cambridge University Press:  09 April 2009

P. D. Finch
P. D. Finch
Affiliation:
University of Melbourne.
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Let R denote the set of real numbers, B the σ-field of all Borel subsets of R. A homogeneous Markov Chain with state space a Borel subset Ω of R is a sequence {an}, n≧ 0, of random variables, taking values in Ω, with one-step transition probabilities P(1) (ξ, A) defined by for each choice of ξ, ξ0, …, ξn−1 in ω and all Borel subsets A of ω The fact that the right-hand side of (1.1) does not depend on the ξi, 0 ≧ i > n, is of course the Markovian property, the non-dependence on n is the homogeneity of the chain.

Information

Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 3 , Issue 3 , August 1963 , pp. 351 - 358
Copyright
Copyright © Australian Mathematical Society 1963

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