Renewal theory for functionals of a Markov chain with compact state space.

DOI10.1214/aop/1068646385zbMath1048.60065OpenAlexW2092222806MaRDI QIDQ1433900

Serguei Pergamenchtchikov, Claudia Klüppelberg

Publication date: 1 July 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aop/1068646385

zbMATH Keywords

Markov chainrandom recurrence equationRiemann integrabilitykey renewal theorem

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Random operators and equations (aspects of stochastic analysis) (60H25) Markov renewal processes, semi-Markov processes (60K15) Renewal theory (60K05)

Related Items

The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. ⋮ Stability of functionals of perturbed Markov chains under the condition of uniform minorization ⋮ Extremal behaviour of models with multivariate random recurrence representation ⋮ Geometric ergodicity for classes of homogeneous Markov chains ⋮ Renewal theory for transient Markov chains with asymptotically zero drift ⋮ The key renewal theorem for a transient Markov chain ⋮ Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift ⋮ Regularly varying multivariate time series ⋮ Markov tail chains ⋮ On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence

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