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October 2003 Renewal theory for functionals of a Markov chain with compact state space
Claudia Klüppelberg, Serguei Pergamenchtchikov
Ann. Probab. 31(4): 2270-2300 (October 2003). DOI: 10.1214/aop/1068646385

Abstract

Motivated by multivariate random recurrence equations we prove a new analogue of the Key Renewal Theorem for functionals of a Markov chain with compact state space in the spirit of Kesten [Ann. Probab. 2 (1974) 355--386]. Compactness of the state space and a certain continuity condition allows us to simplify Kesten's proof considerably.

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Claudia Klüppelberg. Serguei Pergamenchtchikov. "Renewal theory for functionals of a Markov chain with compact state space." Ann. Probab. 31 (4) 2270 - 2300, October 2003. https://doi.org/10.1214/aop/1068646385

Information

Published: October 2003
First available in Project Euclid: 12 November 2003

zbMATH: 1048.60065
MathSciNet: MR2016619
Digital Object Identifier: 10.1214/aop/1068646385

Subjects:
Primary: 60H25, 60J05, 60K05, 60K15

Rights: Copyright © 2003 Institute of Mathematical Statistics

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Vol.31 • No. 4 • October 2003
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