Ergodic property of stable-like Markov chains (Q300281): Difference between revisions
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A stable-like Markov chain (in discrete time) generalizes the concept of a random walk on the real line with \(\alpha\)-stable increments as follows: the increment laws still have a power-law decay, but with a state-dependent exponent \(\alpha(x)+1\). The author studies sufficient criteria for the transience, recurrence and ergodicity of stable-like Markov chains under certain uniformity conditions on the transition density functions. The proofs are based on the Foster-Lyapunov drift criteria. | |||
Property / review text: A stable-like Markov chain (in discrete time) generalizes the concept of a random walk on the real line with \(\alpha\)-stable increments as follows: the increment laws still have a power-law decay, but with a state-dependent exponent \(\alpha(x)+1\). The author studies sufficient criteria for the transience, recurrence and ergodicity of stable-like Markov chains under certain uniformity conditions on the transition density functions. The proofs are based on the Foster-Lyapunov drift criteria. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Sebastian Mentemeier / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G52 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60E07 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6598633 / rank | |||
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stable-like Markov chains | |||
Property / zbMATH Keywords: stable-like Markov chains / rank | |||
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ergodicity | |||
Property / zbMATH Keywords: ergodicity / rank | |||
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Foster-Lyapunov drift criteria | |||
Property / zbMATH Keywords: Foster-Lyapunov drift criteria / rank | |||
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recurrence | |||
Property / zbMATH Keywords: recurrence / rank | |||
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stable distribution | |||
Property / zbMATH Keywords: stable distribution / rank | |||
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transience | |||
Property / zbMATH Keywords: transience / rank | |||
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Revision as of 22:46, 27 June 2023
scientific article
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English | Ergodic property of stable-like Markov chains |
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Ergodic property of stable-like Markov chains (English)
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27 June 2016
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A stable-like Markov chain (in discrete time) generalizes the concept of a random walk on the real line with \(\alpha\)-stable increments as follows: the increment laws still have a power-law decay, but with a state-dependent exponent \(\alpha(x)+1\). The author studies sufficient criteria for the transience, recurrence and ergodicity of stable-like Markov chains under certain uniformity conditions on the transition density functions. The proofs are based on the Foster-Lyapunov drift criteria.
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stable-like Markov chains
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ergodicity
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Foster-Lyapunov drift criteria
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recurrence
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stable distribution
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transience
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