Martin capacity for Markov chains

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic potential theory (60J45) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Abstract: The probability that a transient Markov chain, or a Brownian path, will ever visit a given set Lambda, is classically estimated using the capacity of Lambda with respect to the Green kernel G(x,y). We show that replacing the Green kernel by the Martin kernel G(x,y)/G(0,y) yields improved estimates, which are exact up to a factor of 2. These estimates are applied to random walks on lattices, and also to explain a connection found by R. Lyons between capacity and percolation on trees.

Review text

Kakutani has proved that a compact set \(\Lambda \subseteq \mathbb{R}^d\) is visited with positive probability by a \(d\)-dimensional Brownian motion \((d \geq 3)\) if and only if \(\Lambda\) has positive Newtonian capacity. A more quantitative relation holds between this probability and capacity. The probability that a transient Markov chain, or a Brownian path will ever visit a given set \(\Lambda\) is classically estimated by using the capacity of \(\Lambda\) with respect to the Green kernel \(G(x,y)\). The authors show that replacing the Green kernel by the Martin kernel \(G(x,y)/G (0,y)\) yields improved estimates, which are exact up to a factor of 2. These estimates are applied to random walks on lattices and reveal a connection of Lyons-type between capacity and percolation on trees.

Recommendations

Cited in

(23)

This page was built for publication: Martin capacity for Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1902955)