English

Visible absorbing decompositions and uniqueness of invariant probabilities

Mathematical Finance 2026-05-13 v3 Probability

Abstract

We identify the measurable absorbing obstruction to uniqueness of invariant probability measures for a Markov kernel. Ordinary absorbing decompositions obstruct global irreducibility and recurrence, but not necessarily uniqueness: an absorbing component may have full mass for no invariant probability. We prove that a Markov kernel has more than one invariant probability if and only if it admits a visible absorbing decomposition, namely two disjoint absorbing sets, each having full mass for an invariant probability. The proof uses only the Jordan decomposition of the difference of two invariant probabilities.

Keywords

Cite

@article{arxiv.2601.04900,
  title  = {Visible absorbing decompositions and uniqueness of invariant probabilities},
  author = {Jean-Gabriel Attali},
  journal= {arXiv preprint arXiv:2601.04900},
  year   = {2026}
}