Markov Chains Conditioned Never to Wait Too Long at the Origin

DOI10.1239/JAP/1253279853MaRDI QIDQ3182433zbMATH OpenOpenAlexFDO

Authors S. D. Jacka

Publication date 8 October 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0906.3876

zbMATH Keywords

Feller's coin-tossing problem

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27)

Abstract: Motivated by Feller's coin-tossing problem, we consider the problem of conditioning an irreducible Markov chain never to wait too long at 0. Denoting by $au$ the first time that the chain, $X$, waits for at least one unit of time at the origin, we consider conditioning the chain on the event $(au>T)$. We show there is a weak limit as $Toinfty$ in the cases where either the statespace is finite or $X$ is transient. We give sufficient conditions for the existence of a weak limit in other cases and show that we have vague convergence to a defective limit if the time to hit zero has a lighter tail than $au$ and $au$ is subexponential.

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Cited in

(3)

• scientific article; zbMATH DE number 4028550 (Why is no real title available?)
• Weak convergence of conditioned processes on a countable state space
• Conditioning an additive functional of a Markov chain to stay nonnegative. I. Survival for a long time

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