In the study of dynamical systems perturbed by noise, it is important to know whether the stochastic process of interest has a stationary distribution. Four necessary and sufficient conditions are formulated for the existence of a finite invariant measure for a Feller process on a σ-compact metric (state) space. These conditions link together stability notions from several fields. The first uses a Lyapunov function reminiscent of Lagrange stability in differential equations; the second depends on Prokhorov's condition for sequential compactness of measures; the third is a recurrence condition on the ergodic averages of the transition operator; and the fourth is analogous to a condition of Ulam and Oxtoby for the nonstochastic case.
No takes yet. Share an insight, caveat, or question.
Vladimír Beneš (1968) studied this question.
Synapse has enriched 3 closely related papers on similar clinical questions. Consider them for comparative context: