Self-similar scaling limits of Markov chains on the positive integers
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Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Transition functions, generators and resolvents (60J35)
Abstract: We are interested in the asymptotic behavior of Markov chains on the set of positive integers for which, loosely speaking, large jumps are rare and occur at a rate that behaves like a negative power of the current state, and such that small positive and negative steps of the chain roughly compensate each other. If is such a Markov chain started at , we establish a limit theorem for appropriately scaled in time, where the scaling limit is given by a nonnegative self-similar Markov process. We also study the asymptotic behavior of the time needed by to reach some fixed finite set. We identify three different regimes (roughly speaking the transient, the recurrent and the positive-recurrent regimes) in which exhibits different behavior. The present results extend those of Haas & Miermont who focused on the case of non-increasing Markov chains. We further present a number of applications to the study of Markov chains with asymptotically zero drifts such as Bessel-type random walks, nonnegative self-similar Markov processes, invariance principles for random walks conditioned to stay positive, and exchangeable coalescence-fragmentation processes.
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