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  • Search: subject:"Regularly varying tail behaviour"
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Asymptotically zero drift 1 Convergence to Γ-distribution 1 Harmonic function 1 Invariant distribution 1 Lamperti problem 1 Markov chain 1 Martingale technique 1 Non-exponential change of measure 1 Regularly varying tail behaviour 1 Renewal function 1 Test (Lyapunov) function 1
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Denisov, Denis 1 Korshunov, Dmitry 1 Wachtel, Vitali 1
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Stochastic Processes and their Applications 1
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Potential analysis for positive recurrent Markov chains with asymptotically zero drift: Power-type asymptotics
Denisov, Denis; Korshunov, Dmitry; Wachtel, Vitali - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3027-3051
We consider a positive recurrent Markov chain on R+ with asymptotically zero drift which behaves like −c1/x at infinity; this model was first considered by Lamperti. We are interested in tail asymptotics for the stationary measure. Our analysis is based on construction of a harmonic function...
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