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