Non-homogeneous random walks on a semi-infinite strip

Abstract: We study the asymptotic behaviour of Markov chains

(X_{n}, e t a_{n})

on

m a t h b b Z_{+} i m e s S

, where

m a t h b b Z_{+}

is the non-negative integers and

S

is a finite set. Neither coordinate is assumed to be Markov. We assume a moments bound on the jumps of

X_{n}

, and that, roughly speaking,

e t a_{n}

is close to being Markov when

X_{n}

is large. This departure from much of the literature, which assumes that

e t a_{n}

is itself a Markov chain, enables us to probe precisely the recurrence phase transitions by assuming asymptotically zero drift for

X_{n}

given

e t a_{n}

. We give a recurrence classification in terms of increment moment parameters for

X_{n}

and the stationary distribution for the large-

X

limit of

e t a_{n}

. In the null case we also provide a weak convergence result, which demonstrates a form of asymptotic independence between

X_{n}

(rescaled) and

e t a_{n}

. Our results can be seen as generalizations of Lamperti's results for non-homogeneous random walks on

m a t h b b Z_{+}

(the case where

S

is a singleton). Motivation arises from modulated queues or processes with hidden variables where

e t a_{n}

tracks an internal state of the system.

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