Limit Theorems for Discontinuous Random Evolutinos with Applications to Initial Value Problems and to Markov Processes on $N$ Lines
Kertz, Robert P.
Ann. Probab., Tome 2 (1974) no. 6, p. 1046-1064 / Harvested from Project Euclid
Let $X(t); t \geqq 0$ be a stationary continuous-time Markov chain with state space $\{1,2,\cdots, N\}$ and jump times $t_1, t_2,\cdots$. Let $T_\alpha(t); t \geqq 0, 1 \leqq \alpha \leqq N$, be semi-groups and $\Pi_{jk} (u); u \geqq 0, 1 \leqq j \neq k \leqq N$, operators defined on Banach space $B$. Under suitable conditions on these operators, including commutativity, and an appropriate time change in $\varepsilon > 0$ on $X(t)$, we give limiting behavior for the discontinuous random evolutions $T_{X(0)}(t_1^\varepsilon) \Pi_{X(0)X(t_1)} (\varepsilon)T_{X(t_1)}(t_2^\varepsilon - t_1^\varepsilon)\cdots T_{X(t_\nu)}(t - t_\nu^\varepsilon)$ as $\varepsilon \rightarrow 0$. By considering the `expectation semi-group' of the discontinuous random evolutions, we prove a type of singular perturbation theorem and give formulas for the asymptotic solution. These results rely on a limit theorem for the joint distribution of the occupation-time and number-of-jump random variables of the chain $X(\bullet)$. We prove this theorem and with `random evolution' techniques use it to give new proofs of limit theorems for Markov processes on $N$ lines. Analogous results are obtained when the controlling process is a discrete-time finite-state Markov chain.
Publié le : 1974-12-14
Classification:  Multipilcative operator functional,  random evolution,  semi-groups of operators,  singular perturbation,  central limit theorem,  60F056,  60J10,  60H99,  47D05,  35B25,  60J05,  60J25
@article{1176996497,
     author = {Kertz, Robert P.},
     title = {Limit Theorems for Discontinuous Random Evolutinos with Applications to Initial Value Problems and to Markov Processes on $N$ Lines},
     journal = {Ann. Probab.},
     volume = {2},
     number = {6},
     year = {1974},
     pages = { 1046-1064},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996497}
}
Kertz, Robert P. Limit Theorems for Discontinuous Random Evolutinos with Applications to Initial Value Problems and to Markov Processes on $N$ Lines. Ann. Probab., Tome 2 (1974) no. 6, pp.  1046-1064. http://gdmltest.u-ga.fr/item/1176996497/