Tail behaviour of stationary distribution for Markov chains with asymptotically zero drift release_gx2zk7ai75fvjfy5xhu3w46vgm

by Denis Denisov, Dmitry Korshunov, Vitali Wachtel

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2012  

Abstract

We consider a Markov chain on R^+ with asymptotically zero drift and finite second moments of jumps which is positive recurrent. A power-like asymptotic behaviour of the invariant tail distribution is proven; such a heavy-tailed invariant measure happens even if the jumps of the chain are bounded. Our analysis is based on test functions technique and on construction of a harmonic function.
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Type  article
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Date   2012-08-15
Version   v1
Language   en ?
arXiv  1208.3066v1
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