A classification of invariant distributions and convergence of imprecise Markov chains

Abstract

We analyse the structure of imprecise Markov chains and study their convergence by means of accessibility relations. We first identify the sets of states, so-called minimal permanent classes, that are the minimal sets capable of containing and preserving the whole probability mass of the chain. These classes generalise the essential classes known from the classical theory. We then define a class of extremal imprecise invariant distributions and show that they are uniquely determined by the values of the upper probability on minimal permanent classes. Moreover, we give conditions for unique convergence to these extremal invariant distributions.