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Invariance principle for additive functionals of Markov chains

Probability 2007-05-23 v1

Abstract

We consider a sequence of additive functionals {\phi_n}, set on a sequence of Markov chains {X_n} that weakly converges to a Markov process X. We give sufficient condition for such a sequence to converge in distribution, formulated in terms of the characteristics of the additive functionals, and related to the Dynkin's theorem on the convergence of W-functionals. As an application of the main theorem, the general sufficient condition for convergence of additive functionals in terms of transition probabilities of the chains X_n is proved.

Keywords

Cite

@article{arxiv.0704.0508,
  title  = {Invariance principle for additive functionals of Markov chains},
  author = {Yuri N. Kartashov and Alexey M. Kulik},
  journal= {arXiv preprint arXiv:0704.0508},
  year   = {2007}
}

Comments

18 pages