Markov chains with heavy-tailed increments and asymptotically zero drift

DOI10.1214/19-EJP322MaRDI QIDQ2316586zbMATH OpenFDO

Authors Nicholas Georgiou, Mikhail V. Menshikov, Dimitri Petritis, Andrew R. Wade

Publication date 6 August 2019

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.07166, https://projecteuclid.org/euclid.ejp/1561082671

zbMATH Keywords

asymptotically zero driftheavy tailsLamperti's problemLyapunov functionspassage-time momentsrandom walkrecurrencetransience

Mathematics Subject Classification ID

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

Abstract: We study the recurrence/transience phase transition for Markov chains on $mathbb{R}_{+}$, $mathbbR$, and $mathbb{R}^2$ whose increments have heavy tails with exponent in $(1,2)$ and asymptotically zero mean. This is the infinite-variance analogue of the classical Lamperti problem. On $mathbb{R}_{+}$, for example, we show that if the tail of the positive increments is about $c{y}^{-alpha}$ for an exponent $alphain(1,2)$ and if the drift at $x$ is about $b{x}^{-gamma}$, then the critical regime has $gamma=alpha-1$ and recurrence/transience is determined by the sign of $b+cpiextrmcosec(pialpha)$. On $mathbbR$ we classify whether transience is directional or oscillatory, and extend an example of Rogozin & Foss to a class of transient martingales which oscillate between $pminfty$. In addition to our recurrence/transience results, we also give sharp results on the existence/non-existence of moments of passage times.

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Cited in

(8)

• Heavy-tailed random walks on complexes of half-lines
• Moment bounds for dissipative semimartingales with heavy jumps
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• scientific article; zbMATH DE number 4218437 (Why is no real title available?)
• Non-homogeneous random walks on a half strip with generalized Lamperti drifts
• Renewal theory for transient Markov chains with asymptotically zero drift
• Strong transience for one-dimensional Markov chains with asymptotically zero drifts
• Moments for stationary Markov chains with asymptotically zero drift

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