The first exit of almost strongly recurrent semi-Markov processes

Tom 23 / 1995

Joachim Domsta, Franciszek Grabski Applicationes Mathematicae 23 (1995), 285-304 DOI: 10.4064/am-23-3-285-304

Streszczenie

Let $\stackrelnX(·)$, n ∈ N, be a sequence of homogeneous semi-Markov processes (HSMP) on a countable set K, all with the same initial p.d. concentrated on a non-empty proper subset J. The subrenewal kernels which are restrictions of the corresponding renewal kernels $\stackrelnQ$ on K×K to J×J are assumed to be suitably convergent to a renewal kernel P (on J×J). The HSMP on J corresponding to P is assumed to be strongly recurrent. Let [$π_j$; j ∈ J] be the stationary p.d. of the embedded Markov chain. In terms of the averaged p.d.f. $F_{ϑ}(t) :=\sum_{j,k ∈ J} π_jP_{j,k}(t)$, t ∈ i$ℝ_+$, and its Laplace-Stieltjes transform $\widetilde F_ϑ$, the above assumptions imply: The time $\stackrel{n}{T}_{J}$ of the first exit of $\stackrel{n}{X}(·)$ from J has a limit p.d. (up to some constant factors) iff 1 - $\widetilde F_ϑ$ is regularly varying at 0 with a positive degree, say α ∈ (0,1]. Then the transform of the limit p.d.f. equals $\widetilde G^{(α)}(s) = (1+s^{α})^{-1}$, Re s ≥ 0. This extends the results by V. S. Korolyuk and A. F. Turbin (1976) obtained for α = 1 under essentially stronger conditions.

Autorzy

  • Joachim Domsta
  • Franciszek Grabski

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