Abstract:
For a given Markov chain with a measurable state space (E,E), transition operator P, and fixed measurable function f≥0, under necessary conditions, we consider variables μ(fn), where n⩾1 is sufficiently large, fn=Pnf/ν(Pnf), and μ and ν are probability measures on E. For a wide class of situations we propose sufficient and often necessary and sufficient conditions for the convergence of fn to 1 as n→∞. These results differ from the results of Orey, Lin, Nummelin, and others by replacing the traditional recurrent conditions of a chain or the uniform boundedness of the functions fn and the minorizing condition of [E. Nummelin, General Irreducible Markov Chains and Nonnegative Operators, Cambridge University Press, Cambridge, UK, 1984] with more flexible assumptions, among which the uniform integrability of functions fn with respect to some collection of measures plays a particular role. Our theorems imply a weak and often a strong convergence of these functions to φ≡1 in respective spaces of a summable function.
Keywords:
Markov chain, strong limit theorem for ratios.
Citation:
M. G. Shur, “Uniform integrability condition in strong ration limit theorems”, Teor. Veroyatnost. i Primenen., 50:3 (2005), 517–532; Theory Probab. Appl., 50:3 (2006), 436–447