pith. sign in

arxiv: 1208.3066 · v1 · pith:GKI2YIGMnew · submitted 2012-08-15 · 🧮 math.PR

Tail behaviour of stationary distribution for Markov chains with asymptotically zero drift

classification 🧮 math.PR
keywords asymptoticallybehaviourchaindistributiondriftinvariantjumpsmarkov
0
0 comments X
read the original abstract

We consider a Markov chain on $R^+$ with asymptotically zero drift and finite second moments of jumps which is positive recurrent. A power-like asymptotic behaviour of the invariant tail distribution is proven; such a heavy-tailed invariant measure happens even if the jumps of the chain are bounded. Our analysis is based on test functions technique and on construction of a harmonic function.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.