On the limit behavior of a sequence of Markov processes perturbed in a neighborhood of the singular point

DOI10.1007/S11253-015-1101-5MaRDI QIDQ325979zbMATH OpenOpenAlexFDO

Authors A. Yu. Pilipenko, Yu. E. Prikhod'ko

Publication date 12 October 2016

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.03529

zbMATH Keywords

weak convergenceMarkov processesskew Brownian motioninvariance principlesymmetric random walk

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25)

Abstract: We study a limit behavior of a sequence of Markov processes (or Markov chains) such that their distributions outside of any neighborhood of a "singular" point attract to some probability law. In any neighborhood of this point the behavior may be irregular. As an example of the general result we consider a symmetric random walk with the unit jump that is perturbed in a neighborhood of 0. The invariance principle is obtained under standard scaling of time and space. The limit process turns out to be a skew Brownian motion.

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Cited in

(11)

• Uniformly expanding Markov maps of the real line: exactness and infinite mixing
• Convergence of Markov processes near saddle fixed points
• A limit theorem for singular stochastic differential equations
• On multidimensional locally perturbed standard random walks
• On some problems arising in asymptotic analysis of Markov processes with singularly perturbed generators
• Random walks with sticky barriers
• Limit theorem for perturbed random walks
• Limit behaviour of random walks on ℤ^mwith two-sided membrane
• Walsh's Brownian motion and Donsker scaling limits of perturbed random walks
• On a skew stable Lévy process
• On a limit behaviour of a one-dimensional random walk with non-integrable impurity

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