An overshoot approach to recurrence and transience of Markov processes

DOI10.1016/J.SPA.2011.05.010zbMATH Open1227.60102arXiv1007.2055OpenAlexW2065490597MaRDI QIDQ554448FDOQ554448

Authors: Björn Böttcher 

Publication date: 4 August 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We develop criteria for recurrence and transience of one-dimensional Markov processes which have jumps and oscillate between $+infty$ and $-infty$. The conditions are based on a Markov chain which only consists of jumps (overshoots) of the process into complementary parts of the state space. In particular we show that a stable-like process with generator $-(-Delta{)}^{alpha(x)/2}$ such that $alpha(x)=alpha$ for $x<-R$ and $$ for $x>R$ for some $R>0$ and $$ is transient if and only if $$, otherwise it is recurrent. As a special case this yields a new proof for the recurrence, point recurrence and transience of symmetric $alpha$-stable processes.

Full work available at URL: https://arxiv.org/abs/1007.2055

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zbMATH Keywords

recurrencetransiencestable-like processesMarkov processes with jumps

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Local time and additive functionals (60J55)

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Cited In (14)

• Some inequalities related to transience and recurrence of Markov processes and their applications
• The weighted transience and recurrence of Markov processes
• Ergodic property of stable-like Markov chains
• Recurrence and transience criteria for two cases of stable-like Markov chains
• Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs
• On recurrence and transience of some Lévy-type processes in ℝ
• Heavy-tailed random walks on complexes of half-lines
• Ergodicity of Lévy-type processes
• On recurrence and transience of two-dimensional Lévy and Lévy-type processes
• Algebraic ergodicity for SDEs driven by Lévy processes
• Recurrence and transience property for a class of Markov chains
• Long-time behavior for a class of Feller processes
• Some theorems on Feller processes: transience, local times and ultracontractivity
• \(\alpha\)-transience and \(\alpha\)-recurrence of right processes

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