Limit theorems for Markov random walks (Q1314722)

This paper is concerned with limit theory for the additive component of a Markov random walk in the case where the modulating Markov chain is on a countable state space and has a stationary distribution. It is shown that the random walk can be built up from i.i.d. sequences of hitting times of states, and a central limit theorem and law of the iterated logarithm are established. The parameters involved in these limit theorems are given explicitly in terms of the transition matrix of the Markov chain.