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Markov Chains Norris

# Markov Chains Norris

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Published by: Genie Kcl on Feb 21, 2012

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A set I is countable if there is a bijection f : {I, ... ,n} ~ I for some n E N,-
or a bijection f : N ~ I. In either case we can enumerate all the elements
of I

218

6. Appendix: probability and measure

where in one case the sequence terminates and in the other it does not.
There would have been no loss in generality had we insisted that all our
Markov chains had state-space N or {I, ... ,n} for some n E N: this just
corresponds to a particular choice of the bijection f.

Any subset of a countable set is countable. Any finite cartesian product
of countable sets is countable, for example tln

for any n. Any countable
union of countable sets is countable. The set of all subsets of N is uncount-
able and so is the set of real numbers JR.

We need the following basic fact.

Lemma 6.1.1. Let I be a countably infinite set and let Ai ~ 0 for all i E I.
Then, for any two enumerations ofI

~ 1 , ~ 2 , ~ 3 , ••• ,

we have

00

00

LAin = LAin'

n=l n=l

Proof. Given any N E N we can find M ~ Nand N' ~ M such that

Then

N

M

N'

""" A· < """ A· < """ A·
L.-J 'tn - L.-J In - L.-J 'tn

n=l n=l n=l

and the result follows on letting N ~ 00. D

Since the value of the sum does not depend on the enumeration we are
justified in using a notation which does not specify an enumeration and
write simply

More generally, if we allow Ai to take negative values, then we can set

where

6.1 Countable sets and countable sums

219

allowing that the sum over I is undefined when the sums over I+ and I-
are both infinite. There is no difficulty in showing for Ai, jji 2 0 that

I)Ai + Pi) = LAi + LPi.
iEI

iEI iEI

By induction, for any finite set J and for Aij 2 0, we have

L (LAij)= L (LAij).

iEI jEJ

jEJ iEI

The following two results on sums are simple versions of fundamental
results for integrals. We take the opportunity to prove these simple versions
in order to convey some intuition relevant to the general case.

Lemma 6.1.2 (Fubini's theorem - discrete case). Let I and J be
countable sets and let Aij 2 0 for all i E I and j E J. Then

L (LAij)=L (LAij).

iEI jEJ

jEJ iEI

Proof. Let jl,j2,j3, ... be an enumeration of J. Then

as n ~ 00. Hence

and the result follows by symmetry. D

Lemma 6.1.3 (Monotone convergence - discrete case). Suppose for
each i E I we are given an increasing sequence ( A i ( n ) ) n ~ O with limit Ai, .
and that Ai(n) 2 0 for all i and n. Then

LAi(n) i LAi asn-t 00.

iEI

iEI

220

6. Appendix: probability and measure

Proof. Set 8i (1) = Ai(l) and for n ~ 2 set

Then 8i (n) ~ 0 for all i and n, so as n ~ 00, by Fubini's theorem

~ A i ( n ) = ~ (t,8i(k))

= t. ( ~ 8 i ( k ) ) i t. ( ~ 8 i ( k ) )

= L(f8i(k)) = LAio

iEI k=l

iEI

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