IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v98y2002i1p77-112.html
   My bibliography  Save this article

Markov renewal theory for stationary (m+1)-block factors: convergence rate results

Author

Listed:
  • Alsmeyer, Gerold
  • Hoefs, Volker

Abstract

This article continues work by Alsmeyer and Hoefs (Markov Process Relat. Fields 7 (2001) 325-348) on random walks (Sn)n[greater-or-equal, slanted]0 whose increments Xn are (m+1)-block factors of the form [phi](Yn-m,...,Yn) for i.i.d. random variables Y-m,Y-m+1,... taking values in an arbitrary measurable space . Defining Mn=(Yn-m,...,Yn) for n[greater-or-equal, slanted]0, which is a Harris ergodic Markov chain, the sequence (Mn,Sn)n[greater-or-equal, slanted]0 constitutes a Markov random walk with stationary drift [mu]=EFm+1X1 where F denotes the distribution of the Yn's. Suppose [mu]>0, let ([sigma]n)n[greater-or-equal, slanted]0 be the sequence of strictly ascending ladder epochs associated with (Mn,Sn)n[greater-or-equal, slanted]0 and let (M[sigma]n,S[sigma]n)n[greater-or-equal, slanted]0, (M[sigma]n,[sigma]n)n[greater-or-equal, slanted]0 be the resulting Markov renewal processes whose common driving chain is again positive Harris recurrent. The Markov renewal measures associated with (Mn,Sn)n[greater-or-equal, slanted]0 and the former two sequences are denoted U[lambda],U[lambda]> and V[lambda]>, respectively, where [lambda] is an arbitrary initial distribution for (M0,S0). Given the basic sequence (Mn,Sn)n[greater-or-equal, slanted]0 is spread-out or 1-arithmetic with shift function 0, we provide convergence rate results for each of U[lambda],U[lambda]> and V[lambda]> under natural moment conditions. Proofs are based on a suitable reduction to standard renewal theory by finding an appropriate imbedded regeneration scheme and coupling. Considerable work is further spent on necessary moment results.

Suggested Citation

  • Alsmeyer, Gerold & Hoefs, Volker, 2002. "Markov renewal theory for stationary (m+1)-block factors: convergence rate results," Stochastic Processes and their Applications, Elsevier, vol. 98(1), pages 77-112, March.
  • Handle: RePEc:eee:spapps:v:98:y:2002:i:1:p:77-112
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(01)00137-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Alsmeyer, Gerold, 1994. "On the Markov renewal theorem," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 37-56, March.
    2. Niemi, S. & Nummelin, E., 1986. "On non-singular renewal kernels with an application to a semigroup of transition kernels," Stochastic Processes and their Applications, Elsevier, vol. 22(2), pages 177-202, July.
    3. Alsmeyer, Gerold, 1996. "Superposed continuous renewal processes A Markov renewal approach," Stochastic Processes and their Applications, Elsevier, vol. 61(2), pages 311-322, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kella, Offer & Stadje, Wolfgang, 2006. "Superposition of renewal processes and an application to multi-server queues," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1914-1924, November.
    2. Basrak, Bojan & Conroy, Michael & Olvera-Cravioto, Mariana & Palmowski, Zbigniew, 2022. "Importance sampling for maxima on trees," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 139-179.
    3. Konstantopoulos, Takis & Last, Günter, 1999. "On the use of Lyapunov function methods in renewal theory," Stochastic Processes and their Applications, Elsevier, vol. 79(1), pages 165-178, January.
    4. Gobet, Emmanuel & Menozzi, Stéphane, 2004. "Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 201-223, August.
    5. Dmitry Korshunov, 2008. "The Key Renewal Theorem for a Transient Markov Chain," Journal of Theoretical Probability, Springer, vol. 21(1), pages 234-245, March.
    6. Gerold Alsmeyer, 2003. "On the Harris Recurrence of Iterated Random Lipschitz Functions and Related Convergence Rate Results," Journal of Theoretical Probability, Springer, vol. 16(1), pages 217-247, January.
    7. Alsmeyer, Gerold, 1996. "Superposed continuous renewal processes A Markov renewal approach," Stochastic Processes and their Applications, Elsevier, vol. 61(2), pages 311-322, February.
    8. Masakiyo Miyazawa, 2011. "Light tail asymptotics in multidimensional reflecting processes for queueing networks," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(2), pages 233-299, December.
    9. Gerold Alsmeyer & Fabian Buckmann, 2018. "Fluctuation Theory for Markov Random Walks," Journal of Theoretical Probability, Springer, vol. 31(4), pages 2266-2342, December.
    10. Gobet, Emmanuel & Menozzi, Stéphane, 2010. "Stopped diffusion processes: Boundary corrections and overshoot," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 130-162, February.
    11. Kyprianou, Andreas E. & Palau, Sandra, 2018. "Extinction properties of multi-type continuous-state branching processes," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3466-3489.
    12. Hansen, Niels Richard & Jensen, Anders Tolver, 2005. "The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 579-591, April.
    13. Fuh, Cheng-Der, 2021. "Asymptotic behavior for Markovian iterated function systems," Stochastic Processes and their Applications, Elsevier, vol. 138(C), pages 186-211.
    14. Haas, Bénédicte & Stephenson, Robin, 2018. "Bivariate Markov chains converging to Lamperti transform Markov additive processes," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3558-3605.
    15. Fuh, Cheng-Der & Zhang, Cun-Hui, 2000. "Poisson equation, moment inequalities and quick convergence for Markov random walks," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 53-67, May.
    16. Stadje, Wolfgang, 2012. "Embedded Markov chain analysis of the superposition of renewal processes," Statistics & Probability Letters, Elsevier, vol. 82(8), pages 1497-1503.
    17. Zhao, Ruiqing & Tang, Wansheng & Yun, Huaili, 2006. "Random fuzzy renewal process," European Journal of Operational Research, Elsevier, vol. 169(1), pages 189-201, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:98:y:2002:i:1:p:77-112. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.