Recurrence and transience property for a class of Markov chains

DOI10.3150/12-BEJ448zbMATH Open1284.60090arXiv1203.0447OpenAlexW3103884577MaRDI QIDQ2435239FDOQ2435239

Authors: Nikola Sandrić 

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider the recurrence and transience problem for a time-homogeneous Markov chain on the real line with transition kernel $p(x,mathrmdy)=f_x(y-x),mathrmdy$, where the density functions $f_x(y)$, for large $|y|$, have a power-law decay with exponent $alpha(x)+1$, where $alpha(x)in(0,2)$. In this paper, under a uniformity condition on the density functions $f_x(y)$ and an additional mild drift condition, we prove that when $limin{f}_{|x|longrightarrowinfty}alpha(x)>1$, the chain is recurrent. Similarly, under the same uniformity condition on the density functions $f_x(y)$ and some mild technical conditions, we prove that when $limsu{p}_{|x|longrightarrowinfty}alpha(x)<1$, the chain is transient. As a special case of these results, we give a new proof for the recurrence and transience property of a symmetric $alpha$-stable random walk on $mathbbR$ with the index of stability $alphain(0,1)cup(1,2).$

Full work available at URL: https://arxiv.org/abs/1203.0447

Recommendations

• Recurrence and transience criteria for two cases of stable-like Markov chains
• scientific article; zbMATH DE number 3896036
• Ergodic property of stable-like Markov chains
• scientific article; zbMATH DE number 2039005
• An overshoot approach to recurrence and transience of Markov processes

zbMATH Keywords

stable distributionrecurrencetransienceHarris recurrenceFoster-Lyapunov drift criterionpetite set\(T\)-chain

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Probability. Theory and examples.
• Markov chains and stochastic stability
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• An overshoot approach to recurrence and transience of Markov processes
• Criteria for the recurrence or transience of stochastic process. I
• The scaling limit behaviour of periodic stable-like processes
• The oscillating random walk

Cited In (16)

• Title not available (Why is that?)
• Markov chains with heavy-tailed increments and asymptotically zero drift
• Ergodic property of stable-like Markov chains
• Recurrence and transience criteria for two cases of stable-like Markov chains
• An overshoot approach to recurrence and transience of Markov processes
• Recurrence and transience criteria for subordinated symmetric Markov processes
• Drift vectors are not sufficient to determine recurrence of a Markov chain on ℤ³₊
• On first returning time and last exit time of a class of Markov chain
• Heavy-tailed random walks on complexes of half-lines
• Title not available (Why is that?)
• Explicit results for ergodic properties of SDEs driven by cylindrical symmetric stable noise
• A property of Markov chains with interrupted transitions and its application in reliability problems
• Title not available (Why is that?)
• Ergodicity of Lévy-type processes
• Criteria for geometric and algebraic transience for discrete-time Markov chains
• Long-time behavior for a class of Feller processes

This page was built for publication: Recurrence and transience property for a class of Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2435239)