Potential analysis for positive recurrent Markov chains with asymptotically zero drift: power-type asymptotics (Q2447699): Difference between revisions

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Latest revision as of 10:38, 8 July 2024

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Potential analysis for positive recurrent Markov chains with asymptotically zero drift: power-type asymptotics
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    Potential analysis for positive recurrent Markov chains with asymptotically zero drift: power-type asymptotics (English)
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    28 April 2014
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    Markov chain
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    invariant distribution
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    Lamperti problem
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    asymptotically zero drift
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    test (Lyapunov) function
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    regularly varying tail behaviour
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    convergence to \(\varGamma\)-distribution
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    renewal function
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    harmonic function
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    non-exponential change of measure
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    martingale technique
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