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Technical Note—Mean Drifts and the Non-Ergodicity of Markov Chains

Linn I. Sennott
Linn I. Sennott
Illinois State University, Normal, Illinois
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Pierre A. Humblet
Pierre A. Humblet
Massachusetts Institute of Technology, Cambridge, Massachusetts
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Richard L. Tweedie
Richard L. Tweedie
Siromath Pty., Ltd., Sydney, Australia
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Linn I. Sennott

Illinois State University, Normal, Illinois

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Pierre A. Humblet

Massachusetts Institute of Technology, Cambridge, Massachusetts

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Richard L. Tweedie

Siromath Pty., Ltd., Sydney, Australia

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Published Online:1 Aug 1983https://doi.org/10.1287/opre.31.4.783

Abstract

An important question in stochastic modeling is whether or not a denumerable state Markov chain is ergodic. We extend a result of Kaplan giving a condition for the non-ergodicity of a chain based on its drifts. We also clarify the condition under which the mean drift in the stationary chain is zero.

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Volume 31, Issue 4

July-August 1983

Pages 603-801

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Published Online:August 01, 1983

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Linn I. Sennott, Pierre A. Humblet, Richard L. Tweedie, (1983) Technical Note—Mean Drifts and the Non-Ergodicity of Markov Chains. Operations Research 31(4):783-789.

https://doi.org/10.1287/opre.31.4.783

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567 mean drifts and non-ergodicity

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Technical Note—Mean Drifts and the Non-Ergodicity of Markov Chains

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Volume 31, Issue 4

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