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Excursion occupation measure (γjk​=Ek​∑n=0Tk​−1​1{Xn​=j}​)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Markov process Markov chain Markov chain invariant measure
2026-10-07  0 By others on same topic  0 Discussions Create my own version
For a recurrent Markov chain, start at k and stop at its first positive return Tk​. The expected visits to each state before that return form the excursion occupation measure. Its kth coordinate is one. Counting the return endpoint instead of the start gives the same measure. It is invariant by shifting the occupation sum one time step and using the Markov property. Any Markov chain invariant measure normalized by xk​=1 dominates it: iterate the stationarity equations on the state space with k removed, then retain the nonnegative excursion-path terms.

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  • Past exam of the mathematics course of the University of Cambridge / 2013 / ib / Paper 4 / 9H / Solution

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