Journal of the Korean Statistical Society
- Volume 18 Issue 1
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- Pages.62-71
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- 1989
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- 1226-3192(pISSN)
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- 2005-2863(eISSN)
The Existence of a Unique Invariant Probability Measure for a Markov Process $X_{n+1}=f(X_n)+varepsilon_{n+1}$
Abstract
We consider a Markov proces ${X_n} on [0,\infty)^k$ which is generated by $X_{n+1} = f(X_n) + \varepsilon_{n+1}$ where f is a continuous, nondecreasing concave function. Sufficient conditions for the existence of a unique invariant probability measure for ${X_n}$ are obtained.
Keywords