Conditioned local limit theorems for random walks defined on finite Markov chains

DOI10.1007/S00440-019-00948-8MaRDI QIDQ2291699zbMATH OpenOpenAlexWikidataFDO

Authors Ronan Lauvergnat, Ion Grama, Émile Le Page

Publication date 31 January 2020

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.06129

zbMATH Keywords

conditioned local limit theoremdualityexit timeMarkov chain

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: Let $(X_n{)}_{ngeq0}$ be a Markov chain with values in a finite state space $mathbbX$ starting at $X_0=xinmathbbX$ and let $f$ be a real function defined on $mathbbX$. Set $S_n=su{m}_{k=1}^{n}f(X_k)$, $ngeqslant1$. For any $yinmathbbR$ denote by $a{u}_y$ the first time when $y+S_n$ becomes non-positive. We study the asymptotic behaviour of the probability $mathbb{P}_{x}left(y+S_{n}in[z,z+a],,,a{u}_y>night)$ as $no+infty.$ We first establish for this probability a conditional version of the local limit theorem of Stone. Then we find for it an asymptotic equivalent of order $n^{3/2}$ and give a generalization which is useful in applications. We also describe the asymptotic behaviour of the probability $mathbb{P}_{x}left(a{u}_y=night)$ as $no+infty$.

Recommendations

• scientific article; zbMATH DE number 4129770
• Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption
• A local limit theorem for random walk defined on a finite Markov chain with absorbing barriers
• On the asymptotics of distributions in two-sided boundary problems for random walks defined on a Markov chain
• Local probabilities for random walks conditioned to stay positive

Cites work

• A Local Limit Theorem for Nonlattice Multi-Dimensional Distribution Functions
• A local limit theorem for random walks conditioned to stay positive
• A local limit theorem on the semi-direct product of \(\mathbb{R}^{*+}\) and \(\mathbb{R}^ d\)
• Boundary Problems for Sums of Lattice Random Variables, Defined on a Finite Regular Markov Chain
• Bounds in the local limit theorem for a random walk conditioned to stay positive
• Conditional limit theorems for ordered random walks
• Conditioned limit theorems for products of random matrices
• Exit times for integrated random walks
• Functional central limit theorems for random walks conditioned to stay positive
• scientific article; zbMATH DE number 3533576 (Why is no real title available?)
• scientific article; zbMATH DE number 3798745 (Why is no real title available?)
• scientific article; zbMATH DE number 3194856 (Why is no real title available?)
• scientific article; zbMATH DE number 3058284 (Why is no real title available?)
• Limit theorems for affine Markov walks conditioned to stay positive
• Limit theorems for Markov chains and stochastic properties of dynamical systems by quasi-compactness
• Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption
• Local probabilities for random walks conditioned to stay positive
• More Exact Statement of Limit Theorems for Homogeneous Markov Chains
• On a functional central limit theorem for random walks conditioned to stay positive
• On a local limit theorem of the theory of probability
• On conditioning a random walk to stay nonnegative
• On the asymptotic behavior of distributions of first-passage times. II
• On the asymptotic behavior of the distributions of first-passage times. I.
• On the asymptotic behaviour of first passage times for transient random walk
• On the rate of convergence in the weak invariance principle for dependent random variables with applications to Markov chains
• Ordered random walks
• Potential theory in conical domains
• Potential theory in conical domains. II
• Random walks in cones
• Random walks with negative drift conditioned to stay positive
• Théorèmes limites pour une classe de chaînes de Markov et applications aux difféomorphismes d'Anosov. (Limit theorems for a class of Markov chains and applications to Anosov diffeomorphisms)
• Théorie ergodique pour des classes d'opérations non completement continues

Cited in

(17)

• Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption
• A local limit theorem for random walk defined on a finite Markov chain with absorbing barriers
• A zero-one law for invariant measures and a local limit theorem for coefficients of random walks on the general linear group
• Maximum of branching Brownian motion in a periodic environment
• Berry-Esseen bound and precise moderate deviations for products of random matrices
• Precise large deviation asymptotics for products of random matrices
• Moderate deviations and local limit theorems for the coefficients of random walks on the general linear group
• A local limit theorem for the minimum of a random walk with Markovian increments
• scientific article; zbMATH DE number 4129770 (Why is no real title available?)
• Limit theorems for critical branching processes in a finite-state-space Markovian environment
• Conditioned limit theorems for hyperbolic dynamical systems
• Large deviation expansions for the coefficients of random walks on the general linear group
• Random walks on \(\mathrm{SL}_2({\mathbb{C}})\): spectral gap and limit theorems
• The extremal position of a branching random walk on the general linear group
• Conditioned local limit theorems for random walks on the real line
• The survival probability of a weakly subcritical multitype branching process in iid random environment
• On the asymptotics of distributions in two-sided boundary problems for random walks defined on a Markov chain

This page was built for publication: Conditioned local limit theorems for random walks defined on finite Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2291699)