Regeneration and general Markov chains

DOI10.1155/S1048953394000304MaRDI QIDQ1344653zbMATH OpenOpenAlexFDO

Authors Vladimir Kalashnikov

Publication date 26 March 1996

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/47386

zbMATH Keywords

continuityergodic theoremrare eventregenerative approachweak convergence

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Special processes (60K99)

Review text

An irreducible Markov chain with a complete separable metric space of states is considered. In the class of all positive recurrent chains (in terms of Nummelin's decomposition of an \(m\)-step transition function \((m \geq 1))\) the Nummelin's method of regenerative approach is used for proving this chain to have a stationary version. The rate of convergence of one-dimensional distributions to a stationary one is estimated. In the class of all aperiodic chains, which uniformly quickly reach some set of typical states, continuity of finite-dimensional distributions with respect to weak convergence of one-step transition functions is proved. A special metric of weak convergence is used for the estimation of the modulus of continuity. Some conditions are proved to be sufficient for a sequence of Markov chains with finite state spaces to approximate the initial Markov chain. A distribution of a rare event is proved to be asymptotically exponential where the event corresponds to a sequence of nonempty sets with empty intersection.

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