Skip-free Markov chains

DOI10.1090/TRAN/7773zbMATH Open1481.60137arXiv1903.00139OpenAlexW3104154334MaRDI QIDQ4633780FDOQ4633780

Authors: Pierre Patie, Michael C. H. Choi 

Publication date: 6 May 2019

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Abstract: The aim of this paper is to develop a general theory for the class of skip-free Markov chains on denumerable state space. This encompasses their potential theory via an explicit characterization of their potential kernel expressed in terms of family of fundamental excessive functions, which are defined by means of the theory of Martin boundary. We also describe their fluctuation theory generalizing the celebrated fluctuations identities that were obtained by using the Wiener-Hopf factorization for the specific skip-free random walks. We proceed by resorting to the concept of similarity to identify the class of skip-free Markov chains whose transition operator has only real and simple eigenvalues. We manage to find a set of sufficient and easy-to-check conditions on the one-step transition probability for a Markov chain to belong to this class. We also study several properties of this class including their spectral expansions given in terms of Riesz basis, derive a necessary and sufficient condition for this class to exhibit a separation cutoff, and give a tighter bound on its convergence rate to stationarity than existing results.

Full work available at URL: https://arxiv.org/abs/1903.00139

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zbMATH Keywords

rate of convergencecutoffMarkov chainsspectral theoryfluctuation theoryMartin boundarypotential theorynon-self-adjoint operator

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Boundary theory for Markov processes (60J50) Probabilistic potential theory (60J45)

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Cited In (13)

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