General Markov chains (MC) with a countably additive transition probability
on a normal topological space are considered. We extend the Markov operator
from the traditional space of countably additive measures to the space of
finitely additive measures. We study the Cesaro means for the Markov sequence
of measures and their asymptotic behavior in the weak topology generated by the
space of bounded continuous functions. It is proved ergodic theorem that in
order for the Cesaro means to converge weakly to some bounded regular finitely
additive (or countably additive) measure, it is necessary and sufficient that
all invariant finitely additive measures (such always exist) are not separable
from the limit measure in the weak topology. Moreover, the limit measure may
not be invariant for a MC, and may not be countably additive. The corresponding
example is given and studied in detail. Key words: Markov chain, Markov
operators, Cesaro means, weak ergodic theorem, absence of invariant countably
additive measures, invariant finitely additive measure, purely finitely
additive measures.Comment: 15 pages, 1 figur