On geometric and algebraic transience for discrete-time Markov chains

Yong-Hua Mao and Yan-Hong Song

Stochastic Processes and their Applications, 2014, vol. 124, issue 4, 1648-1678

Abstract: General characterizations of ergodic Markov chains have been developed in considerable detail. In this paper, we study the transience for discrete-time Markov chains on general state spaces, including the geometric transience and algebraic transience. Criteria are presented through bounding the modified moment of the first return time and establishing the appropriate drift condition. Moreover, we apply the criteria to the random walk on the half line and the skip-free chain on nonnegative integers.

Keywords: Markov chain; Geometric transience; Algebraic transience; Drift condition; Random walk; Skip-free chain (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2013.12.012

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