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
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(English)
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Abstract
Let
be a non-decreasing Markov chain with a transition probability Q satisfying .Assuming that Q(x,By),where ,is non-increasing in x, and that Q(x,By+x) B is non-decreasing in x,we prove that ,where Zi is stochastically non-increasing and asymptotically i.i.d.,possessing a mixin property.We use this to show that (a.s) and that in probability,if ,where T(y) is the hitting time of (y,∞).We also show that is Markov renewal process where are sojourn times of
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Zi
is stochastically non-increasing and asymptotically i.i.d.,possessing a mixin property.We use this to show that





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