Asymptotic behaviour of stationary distributions for countable Markov chains, with some applications

DOI10.2307/3318715MaRDI QIDQ1301754zbMATH OpenOpenAlexFDO

Authors Sanjar Aspandiiarov, R. Iasnogorodski

Publication date 12 September 1999

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bj/1172617202

zbMATH Keywords

occupation timerecurrent Markov chainreflected random walkstationary measuresubmartingalesupermartingale

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

Let \(\{Z_n\), \(n\geq 0\}\) be an aperiodic irreducible recurrent (not necessarily positive recurrent) Markov chain taking values on a countable unbounded subset \(S\) of \(\mathbb{R}^d\), \(\pi(\cdot)\) its invariant measure and \(f\) be a nonnegative function defined on \(S\). The authors find sufficient conditions under which \(\int_S f(z) \pi(dz)= \infty\), and obtain lower and upper bounds for the values of the invariant measure \(\pi\) on the subsets \(B\) of \(S\). These bounds are expressed in terms of first passage probabilities and the first exit time from \(B\).

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• On the CLT for stationary Markov chains with trivial tail sigma field
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• The asymptotic equipartition property of Markov chains in single infinite Markovian environment on countable state space
• Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
• Full classification of dynamics for one-dimensional continuous-time Markov chains with polynomial transition rates
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