How Often Does a Harris Recurrent Markov Chain Recur?
Chen, Xia
Ann. Probab., Tome 27 (1999) no. 1, p. 1324-1346 / Harvested from Project Euclid
Let ${X _n}_ {n\geq 0}$ be a Harris recurrent Markov chain with state space $(E,\mathscr{E})$, transition probability $P(x, A)$ and invariant measure $\pi$ . Given a nonnegative $\pi$-integrable function $f$ on $E$, the exact asymptotic order is given for the additive functionals \sum_{k=1}^{n} f(X_k) \quad n=1,2,\dots in the forms of both weak and strong convergences. In particular, the frequency of ${X_n}_{n \geq 0}$ visiting a given set $A\in \mathscr{E}$ with $0 < \pi (A) < + \infty$ is determined by taking $f = I_A$. Under the regularity assumption, the limits in our theorems are identified. The one- and two-dimensional random walks are taken as the examples of applications.
Publié le : 1999-07-14
Classification:  Markov chain,  Harris recurrence,  regularity,  invariant measure,  additive functional,  60F10,  60J10
@article{1022677449,
     author = {Chen, Xia},
     title = {How Often Does a Harris Recurrent Markov Chain Recur?},
     journal = {Ann. Probab.},
     volume = {27},
     number = {1},
     year = {1999},
     pages = { 1324-1346},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1022677449}
}
Chen, Xia. How Often Does a Harris Recurrent Markov Chain Recur?. Ann. Probab., Tome 27 (1999) no. 1, pp.  1324-1346. http://gdmltest.u-ga.fr/item/1022677449/