A renewal theorem for strongly ergodic Markov chains in dimension \(d \geq 3\) and centered case (Q535196): Difference between revisions

The authors consider a sequence \((X_n,S_n)_{n \geq 0}\) of random variables taking values in \(E \times \mathbb{R}^d\) where \(E\) denotes an arbitrary measurable space, and \(d \geq 3\). Given some fixed measurable function \(f: E \to [0,\infty)\), the asymptotic behavior of \(\mathbb{E} \sum_{n \geq 1} f(X_n) 1_A(S_n-a)\) when \(a \in \mathbb{R}^d\) tends to infinity is studied. A general condition on \(f\) and the sequence \((X_n,S_n)_{n \geq 0}\) is presented that ensures convergence of the above series. This constitutes an extension of \textit{F. Spitzer's} renewal theorem [Principles of random walk. Princeton etc.: D. Van Nostrand Company (1964; Zbl 0119.34304)] which deals with the case of i.i.d.\ centered \(d\)-dimensional \(X_n\) and corresponding partial sums \(S_n = X_1+\ldots+X_n\). The result is established via Fourier transform techniques. In a second step, the general condition is investigated in the case when \((X_n)_{n \geq 0}\) is a Markov chain. Finally, the main results are applied to \(v\)-geometrically ergodic Markov chains, \(\rho\)-mixing Markov chains, and iterative Lipschitz models.