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Structure and asymptotic behaviour of a non-decreasing Markov chain 

Author: P. Todorovic a
Affiliation:   a Department of Statistics and Applied Probability, University of California, CA
DOI: 10.1080/07362999208809257
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 10, Issue 1 1992 , pages 107 - 121
Formats available: PDF (English)
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Abstract

Let ./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0001.gif  be a non-decreasing Markov chain with a transition probability Q satisfying ./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0002.gif .Assuming that Q(x,By),where./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0003.gif ,is non-increasing in x, and that Q(x,By+x) B is non-decreasing in x,we prove that ./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0004.gif ,where lcubZircub is stochastically non-increasing and asymptotically i.i.d.,possessing a mixin property.We use this to show that./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0005.gif  (a.s) and that ./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0006.gif  in probability,if ./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0007.gif ,where T(y) is the hitting time of (y,∞).We also show that./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0008.gif  is Markov renewal process where ./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0009.gif  are sojourn times of ./LSAA_A_8809257_O_XML_IMAGES/LSAA_A_8809257_O_ILM0010.gif 
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