Yaglom limits for R-transient chains with non-trivial Martin boundary
Robert Foley, David McDonald
TL;DR
This paper establishes conditions under which R-transient Markov chains with complex boundary behavior have well-defined Yaglom limits and characterizes their limiting quasistationary distributions.
Contribution
It provides new criteria for the existence of Yaglom limits in R-transient chains with non-trivial Martin boundaries and describes their invariant distributions.
Findings
Conditions for Yaglom limit existence established
Characterization of rho-invariant quasistationary distributions
Analysis of chains with non-trivial Martin boundary
Abstract
We give conditions for the existence of a Yaglom limit for R-transient Markov chains with non-trivial rho-Martin entrance boundary (rho=1/R) and we characterize the rho-invariant limiting quasistationary distribution.
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Taxonomy
TopicsMarkov Chains and Monte Carlo Methods · Stochastic processes and statistical mechanics · Random Matrices and Applications