Potential analysis for positive recurrent Markov chains with asymptotically zero drift: power-type asymptotics

DOI10.1016/J.SPA.2013.04.011MaRDI QIDQ2447699zbMATH OpenOpenAlexFDO

Authors Denis E. Denisov, Dmitry Korshunov, Vitali Wachtel

Publication date 28 April 2014

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

Full work available at URL https://arxiv.org/abs/1208.3066

zbMATH Keywords

asymptotically zero driftconvergence to \(\varGamma\)-distributionharmonic functioninvariant distributionLamperti problemMarkov chainmartingale techniquenon-exponential change of measureregularly varying tail behaviourrenewal functiontest (Lyapunov) function

Mathematics Subject Classification ID

Large deviations (60F10) Strong limit theorems (60F15) Discrete-time Markov processes on general state spaces (60J05)

Abstract: We consider a Markov chain on $R^{+}$ with asymptotically zero drift and finite second moments of jumps which is positive recurrent. A power-like asymptotic behaviour of the invariant tail distribution is proven; such a heavy-tailed invariant measure happens even if the jumps of the chain are bounded. Our analysis is based on test functions technique and on construction of a harmonic function.

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Cited in

(9)

• Markov chains with heavy-tailed increments and asymptotically zero drift
• Markov chains on \({{\mathbb{Z}}^+}\): analysis of stationary measure via harmonic functions approach
• Random walks in cones
• Locally unitary principal series representations of ${\rm GL}_{d+1}(F)$
• 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
• Probabilistic approach to risk processes with level-dependent premium rate
• Tail asymptotics for delay in a half-loaded \(\mathrm{GI}/\mathrm{GI}/2\) queue with heavy-tailed job sizes

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