Limits of sequences of Markov chains

Abstract

We study the limiting object of a sequence of Markov chains analogous to the limits of graphs, hypergraphs, and other objects which have been studied. Following a suggestion of Aldous, we assign to a convergent sequence of finite Markov chains with bounded mixing times a unique limit object: an infinite Markov chain with a measurable state space. The limits of the Markov chains we consider have discrete spectra, which makes the limit theory simpler than the general graph case, and illustrates how the discrete spectrum setting (sometimes called "random-free" or "product measurable") is simpler than the general case.