English

Renewal approximation for the absorption time of a decreasing Markov chain

Probability 2015-09-08 v1

Abstract

We consider a Markov chain (Mn)n0(M_{n})_{n\ge 0} on the set N0\mathbb{N}_{0} of nonnegative integers which is eventually decreasing, i.e. P{Mn+1<MnMna}=1\mathbb{P}\{M_{n+1}<M_{n}|M_{n}\ge a\}=1 for some aNa\in\mathbb{N} and all n0n\ge 0. We are interested in the asymptotic behaviour of the law of the stopping time T=T(a):=inf{kN0:Mk<a}T=T(a):=\inf\{k\in\mathbb{N}_{0}: M_{k}<a\} under Pn:=P(M0=n)\mathbb{P}_{n}:=\mathbb{P}(\cdot|M_{0}=n) as nn\to\infty. Assuming that the decrements of (Mn)n0(M_{n})_{n\ge 0} given M0=nM_{0}=n possess a kind of stationarity for large nn, we derive sufficient conditions for the convergence in minimal LpL^{p}-distance of Pn((Tan)/bn)\mathbb{P}_{n}((T-a_{n})/b_{n}\in\cdot) to some non-degenerate, proper law and give an explicit form of the constants ana_{n} and bnb_{n}.

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}
}