Renewal approximation for the absorption time of a decreasing Markov chain
Probability
2015-09-08 v1
Abstract
We consider a Markov chain on the set of nonnegative integers which is eventually decreasing, i.e. for some and all . We are interested in the asymptotic behaviour of the law of the stopping time under as . Assuming that the decrements of given possess a kind of stationarity for large , we derive sufficient conditions for the convergence in minimal -distance of to some non-degenerate, proper law and give an explicit form of the constants and .
Keywords
Cite
@article{arxiv.1509.01704,
title = {Renewal approximation for the absorption time of a decreasing Markov chain},
author = {Gerold Alsmeyer and Alexander Marynych},
journal= {arXiv preprint arXiv:1509.01704},
year = {2015}
}