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Fluctuation Theory for Markov Random Walks

Author

Listed:
  • Gerold Alsmeyer

    (University of Münster)

  • Fabian Buckmann

    (University of Münster)

Abstract

Two fundamental theorems by Spitzer–Erickson and Kesten–Maller on the fluctuation-type (positive divergence, negative divergence or oscillation) of a real-valued random walk $$(S_{n})_{n\ge 0}$$ ( S n ) n ≥ 0 with iid increments $$X_{1},X_{2},\ldots $$ X 1 , X 2 , … and the existence of moments of various related quantities like the first passage into $$(x,\infty )$$ ( x , ∞ ) and the last exit time from $$(-\infty ,x]$$ ( - ∞ , x ] for arbitrary $$x\ge 0$$ x ≥ 0 are studied in the Markov-modulated situation when the $$X_{n}$$ X n are governed by a positive recurrent Markov chain $$M=(M_{n})_{n\ge 0}$$ M = ( M n ) n ≥ 0 on a countable state space $$\mathcal {S}$$ S ; thus, for a Markov random walk $$(M_{n},S_{n})_{n\ge 0}$$ ( M n , S n ) n ≥ 0 . Our approach is based on the natural strategy to draw on the results in the iid case for the embedded ordinary random walks $$(S_{\tau _{n}(i)})_{n\ge 0}$$ ( S τ n ( i ) ) n ≥ 0 , where $$\tau _{1}(i),\tau _{2}(i),\ldots $$ τ 1 ( i ) , τ 2 ( i ) , … denote the successive return times of M to state i, and an analysis of the excursions of the walk between these epochs. However, due to these excursions, generalizations of the aforementioned theorems are surprisingly more complicated and require the introduction of various excursion measures so as to characterize the existence of moments of different quantities.

Suggested Citation

  • Gerold Alsmeyer & Fabian Buckmann, 2018. "Fluctuation Theory for Markov Random Walks," Journal of Theoretical Probability, Springer, vol. 31(4), pages 2266-2342, December.
  • Handle: RePEc:spr:jotpro:v:31:y:2018:i:4:d:10.1007_s10959-017-0778-9
    DOI: 10.1007/s10959-017-0778-9
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    References listed on IDEAS

    as
    1. Gerold Alsmeyer & Alexander Iksanov & Matthias Meiners, 2015. "Power and Exponential Moments of the Number of Visits and Related Quantities for Perturbed Random Walks," Journal of Theoretical Probability, Springer, vol. 28(1), pages 1-40, March.
    2. Mallein, Bastien, 2015. "Maximal displacement of a branching random walk in time-inhomogeneous environment," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3958-4019.
    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.
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    Cited by:

    1. Gerold Alsmeyer & Chiranjib Mukherjee, 2023. "On Null-Homology and Stationary Sequences," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-25, March.

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