A homogeneous cts MC has an asymptotic distribution if
whatever the initial distribution .
A homogeneous cts MC has an invariant distribution if
for all .
An invariant distribution satisfies .
Recall that . If is invariant, then . Differentiating with respect to gives and the result follows by setting . ∎
If has an asymptotic distribution then is also its unique invariant distribution.
Let in so that . Using this, if we get and this is true for all so is an invariant distribution. If is also invariant then set so for all . Let to see that . ∎
This means that if an asymptotic distribution exists, then we can find it by solving for the invariant distribution.
If a continous time Markov process with a finite number of states is irreducible (i.e. for all pairs of states , for some (any) ) then it has an asymptotic distribution.
The general two state chain has
Provided neither nor are zero the chain is irreducible (aperiodic always) and the asymptotic distribution is same as the invariant distribution satisfying:
so that