An arcsine law for Markov random walks

Publication date 28 December 2018

Abstract: The classic arcsine law for the number

N_{n}^{>} := n^{- 1} s u m_{k = 1}^{n} m a t h b f 1_{S_{k} > 0}

of positive terms, as

n o i n f t y

, in an ordinary random walk

(S_{n})_{n g e 0}

is extended to the case when this random walk is governed by a positive recurrent Markov chain

(M_{n})_{n g e 0}

on a countable state space

m a t h c a l S

, that is, for a Markov random walk

(M_{n}, S_{n})_{n g e 0}

with positive recurrent discrete driving chain. More precisely, it is shown that

n^{- 1} N_{n}^{>}

converges in distribution to a generalized arcsine law with parameter

h o i n [0, 1]

(the classic arcsine law if

h o = 1 / 2

) iff the Spitzer condition

lim_{n oinfty}frac{1}{n}sum_{k=1}^{n}mathbb{P}_{i}(S_{n}>0) = ho

holds true for some and then all

i i n m a t h c a l S

, where

m a t h b b P_{i} := m a t h b b P (c d o t | M_{0} = i)

for

i i n m a t h c a l S

. It is also proved, under an extra assumption on the driving chain if

0 < h o < 1

, that this condition is equivalent to the stronger variant

lim_{n oinfty}mathbb{P}_{i}(S_{n}>0) = ho.

For an ordinary random walk, this was shown by Doney for

0 < h o < 1

and by Bertoin and Doney for

h o i n 0, 1

.

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