Strong Ratio Limit Theorems for $\phi$-Recurrent Markov Chains
Nummelin, E.
Ann. Probab., Tome 7 (1979) no. 6, p. 639-650 / Harvested from Project Euclid
Let $\{X_n; n = 0, 1, \cdots\}$ be a $\phi$-recurrent Markov chain on a general measurable state space $(S, \mathscr{F})$ with transition probabilities $P(x, A), x \in S, A \in \mathscr{F}$. The convergence of the ratio $\lambda P^{n+m}f / \mu P^ng$ (as $n \rightarrow \infty$), where $\lambda$ and $\mu$ are nonnegative measures on $(S, \mathscr{F})$ and $f$ and $g$ are nonnegative measurable functions on $S$, is studied. We show that the ratio converges, provided that $\lambda, \mu, f$ and $g$ are in a certain sense "small," and provided that for an embedded renewal sequence $\{u(n)\}$ the limit $\lim u(n + 1)/u(n)$ exists.
Publié le : 1979-08-14
Classification:  Markov chain,  strong ratio limit,  $\phi$-recurrent,  $R$-recurrent,  quasi-stationary distribution,  60J10
@article{1176994987,
     author = {Nummelin, E.},
     title = {Strong Ratio Limit Theorems for $\phi$-Recurrent Markov Chains},
     journal = {Ann. Probab.},
     volume = {7},
     number = {6},
     year = {1979},
     pages = { 639-650},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994987}
}
Nummelin, E. Strong Ratio Limit Theorems for $\phi$-Recurrent Markov Chains. Ann. Probab., Tome 7 (1979) no. 6, pp.  639-650. http://gdmltest.u-ga.fr/item/1176994987/