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

DOI10.1007/S11253-015-1101-5zbMATH Open1350.60021arXiv1509.03529OpenAlexW2272643801MaRDI QIDQ325979FDOQ325979

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

Publication date: 12 October 2016

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

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.

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

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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)

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Cited In (9)

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

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