Limit theorems for affine Markov walks conditioned to stay positive

DOI10.1214/16-AIHP814zbMath1396.60080arXiv1601.02991OpenAlexW4214965986MaRDI QIDQ1635984

Ronan Lauvergnat, Emile Le Page, I. G. Grama

Publication date: 1 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.02991

zbMATH Keywords

Markov chainsharmonic functionexit timestochastic recursion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Boundary theory for Markov processes (60J50)

Related Items (5)

First-passage times for random walks with nonidentically distributed increments ⋮ Limit theorems for critical branching processes in a finite-state-space Markovian environment ⋮ Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption ⋮ The survival probability of critical and subcritical branching processes in finite state space Markovian environment ⋮ Conditioned local limit theorems for random walks defined on finite Markov chains

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