An ergodic theorem for asymptotically periodic time-inhomogeneous Markov processes, with application to quasi-stationarity with moving boundaries

DOI10.1017/APR.2022.41MaRDI QIDQ6159402zbMATH OpenWikidataFDO

Authors William Oçafrain

Publication date 5 May 2023

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

Full work available at URL https://arxiv.org/abs/2010.05483

zbMATH Keywords

ergodic theoremlaw of large numbersmoving boundariesquasi-ergodic distributionquasi-stationaritytime-inhomogeneous Markov processes

Mathematics Subject Classification ID

(L^p)-limit theorems (60F25) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55) Diffusion processes (60J60) Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Abstract: This paper deals with ergodic theorems for particular time-inhomogeneous Markov processes, whose the time-inhomogeneity is asymptotically periodic. Under a Lyapunov/minorization condition, it is shown that, for any measurable bounded function $f$, the time average $frac1tin{t}_0^{t}f(X_s)ds$ converges in $mathbb{L}^2$ towards a limiting distribution, starting from any initial distribution for the process $(X_t{)}_{tgeq0}$. This convergence can be improved to an almost sure convergence under an additional assumption on the initial measure. This result will be then applied to show the existence of a quasi-ergodic distribution for processes absorbed by an asymptotically periodic moving boundary, satisfying a conditional Doeblin's condition.

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