A ratio limit theorem for (sub) Markov chains on  with bounded jumps

A ratio limit theorem for (sub) Markov chains on with bounded jumps

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Article ID: iaor1997271
Country: United Kingdom
Volume: 27
Issue: 3
Start Page Number: 652
End Page Number: 691
Publication Date: Sep 1995
Journal: Advances in Applied Probability
Authors:
Abstract:

The paper considers positive matrices Q, indexed by equ2. Assume that there exists a constant equ3 and sequences equ4 and equ5 such that equ6 whenever equ7 or equ8 for some r. If Q satisfies some additional uniform irreducibility and aperiodicity assumptions, then for equ9. Q has at most one positive s-harmonic function and at most one s-invariant measure equ10. The paper uses this result to show that if Q is also substochastic, then it has the strong ratio limit property, that is equ11 for a suitable equ12 and some equ13-harmonic function f and equ14-invariant measure equ15. Under additional conditions equ16 can be taken as a probability measure on equ17 and equ18 exists. An example shows that this limit may fail to exist if Q does not satisfy the restrictions imposed above, even though Q may have a minimal normalized quasi-stationary distribution (i.e. a probability measure equ19 for which equ20). The results have an immediate interpretation for markov chains on equ21 with 0 as an absorbing state. They give ratio limit theorems for such a chain, conditined on not yet being absorbed at 0 by time n.

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