Yaglom limits can depend on the starting state

DOI10.1017/apr.2018.2zbMath1431.60075arXiv1709.07578OpenAlexW2964043192MaRDI QIDQ5214989

Robert D. Foley, David R. McDonald

Publication date: 5 February 2020

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.07578

zbMATH Keywords

eigenvalueeigenvectorharmonic functioninvariant measurequasi-stationary distributiontime reversalchange of measureYaglom limitgambler's ruinsubstochastic transition matrix\(\rho\)-Martin boundary\(R\)-transient distributionDoob's \(h\)-transformation

Mathematics Subject Classification ID

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

Related Items

Quasi-stationary distributions for queueing and other models ⋮ Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues ⋮ Yaglom limit for stochastic fluid models

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