Bivariate Markov chains converging to Lamperti transform Markov additive processes

DOI10.1016/J.SPA.2017.11.008zbMATH Open1409.60107arXiv1612.06058OpenAlexW2595579455MaRDI QIDQ1615902FDOQ1615902

Authors: Bénédicte Haas, Robin Stephenson 

Publication date: 31 October 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Motivated by various applications, we describe the scaling limits of bivariate Markov chains $(X,J)$ on $mathbb{Z}_{+}imes1,ldots,kappa$ where $X$ can be viewed as a position marginal and $1,ldots,kappa$ is a set of $kappa$ types. The chain starts from an initial value $(n,i)inmathbb{Z}_{+}imes1,ldots,kappa$, with $i$ fixed and $nightarrowinfty$, and typically we will assume that the macroscopic jumps of the marginal $X$ are rare, i.e. arrive with a probability proportional to a negative power of the current state. We also assume that $X$ is non-increasing. We then observe different asymptotic regimes according to whether the rate of type change is proportional to, faster than, or slower than the macroscopic jump rate. In these different situations, we obtain in the scaling limit Lamperti transforms of Markov additive processes, that sometimes reduce to standard positive self-similar Markov processes. As first examples of applications, we study the number of collisions in coalescents in varying environment and the scaling limits of Markov random walks with a barrier. This completes previous results obtained by Haas and Miermont as well as Bertoin and Kortchemski in the monotype setting. In a companion paper, we will use these results as a building block to study the scaling limits of multi-type Markov branching trees, with applications to growing models of random trees and multi-type Galton-Watson trees.

Full work available at URL: https://arxiv.org/abs/1612.06058

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zbMATH Keywords

Lamperti transformGalton-Watson treesbivariate Markov chains

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18)

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Cited In (4)

• Scaling Limits of Markov-Branching Trees and Applications
• Scaling limits of multi-type Markov branching trees
• Self-similar scaling limits of non-increasing Markov chains
• Self-similar scaling limits of Markov chains on the positive integers

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