arXiv 1312.22012013-12-08math.PR

Harmonic functions and stationary distributions for asymptotically homogeneous transition kernels on $Z^+$

Denis Denisov, Dmitry Korshunov, Vitali Wachtel

英文摘要：

We suggest a method for constructing positive harmonic functions for a wide class of transition kernels on $Z^+$. We also find natural conditions under which these functions have positive finite limits at infinity. Further, we apply our results on harmonic functions to asymptotically homogeneous Markov chains on $Z^+$ with asymptotically negative drift. More precisely, assuming that Markov chain satisfy Cramér's condition, we study the tail asymptotics of the stationary distribution. In particular, we clarify the influence of the rate of convergence of jumps of the chain towards the limiting distribution.

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