Renewal theory for functionals of a Markov chain with compact state space.

DOI10.1214/aop/1068646385zbMath1048.60065MaRDI QIDQ1433900

Claudia Klüppelberg, Serguei Pergamenchtchikov

Publication date: 1 July 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aop/1068646385

zbMATH Keywords

Markov chain; random recurrence equation; Riemann integrability; key renewal theorem

Mathematics Subject Classification ID

60J05: Discrete-time Markov processes on general state spaces

60H25: Random operators and equations (aspects of stochastic analysis)

60K15: Markov renewal processes, semi-Markov processes

60K05: Renewal theory

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Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift, Extremal behaviour of models with multivariate random recurrence representation, Regularly varying multivariate time series, The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model., The key renewal theorem for a transient Markov chain

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