Quasi-stationary distributions for perturbed discrete time regenerative processes
Author:
Mikael Petersson
Journal:
Theor. Probability and Math. Statist. 89 (2014), 153-168
MSC (2010):
Primary 60K05, 34E10; Secondary 60K25
DOI:
https://doi.org/10.1090/S0094-9000-2015-00942-X
Published electronically:
January 26, 2015
MathSciNet review:
3235182
Full-text PDF Free Access
Abstract |
References |
Similar Articles |
Additional Information
Abstract: Non-linearly perturbed discrete time regenerative processes with regenerative stopping times are considered. We define the quasi-stationary distributions for such processes and present conditions for their convergence. Under some additional assumptions, the quasi-stationary distributions can be expanded in asymptotic power series with respect to the perturbation parameter. We give an explicit recurrence algorithm for calculating the coefficients in these asymptotic expansions. Applications to perturbed alternating regenerative processes with absorption and perturbed risk processes are presented.
References
- Eitan Altman, Konstantin E. Avrachenkov, and Rudesindo Núñez-Queija, Perturbation analysis for denumerable Markov chains with application to queueing models, Adv. in Appl. Probab. 36 (2004), no. 3, 839–853. MR 2079917, DOI https://doi.org/10.1239/aap/1093962237
- J. N. Darroch and E. Seneta, On quasi-stationary distributions in absorbing discrete-time finite Markov chains, J. Appl. Probability 2 (1965), 88–100. MR 179842, DOI https://doi.org/10.2307/3211876
- J. N. Darroch and E. Seneta, On quasi-stationary distributions in absorbing continuous-time finite Markov chains, J. Appl. Probability 4 (1967), 192–196. MR 212866, DOI https://doi.org/10.2307/3212311
- Erland Ekheden and Dmitrii Silvestrov, Coupling and explicit rate of convergence in Cramér-Lundberg approximation for reinsurance risk processes, Comm. Statist. Theory Methods 40 (2011), no. 19-20, 3524–3539. MR 2860755, DOI https://doi.org/10.1080/03610926.2011.581176
- E. Englund and D. S. Silvestrov, Mixed large deviation and ergodic theorems for regenerative processes with discrete time, Theory Stoch. Process. 3(19) (1997), no. 1–2, 164–176.
- William Feller, An introduction to probability theory and its applications. Vol. II., 2nd ed., John Wiley & Sons, Inc., New York-London-Sydney, 1971. MR 0270403
- Jan Grandell, Aspects of risk theory, Springer Series in Statistics: Probability and its Applications, Springer-Verlag, New York, 1991. MR 1084370
- Mats Gyllenberg and Dmitrii S. Silvestrov, Quasi-stationary distributions of a stochastic metapopulation model, J. Math. Biol. 33 (1994), no. 1, 35–70. MR 1306150, DOI https://doi.org/10.1007/BF00160173
- Mats Gyllenberg and Dmitrii S. Silvestrov, Quasi-stationary phenomena in nonlinearly perturbed stochastic systems, De Gruyter Expositions in Mathematics, vol. 44, Walter de Gruyter GmbH & Co. KG, Berlin, 2008. MR 2456816
- Refael Hassin and Moshe Haviv, Mean passage times and nearly uncoupled Markov chains, SIAM J. Discrete Math. 5 (1992), no. 3, 386–397. MR 1172747, DOI https://doi.org/10.1137/0405030
- N. V. Kartashov, Asymptotic expansions and inequalities in stability theorems for general Markov chains with relatively bounded perturbations, J. Soviet Math. 40 (1988), no. 4, 509–518. Stability problems of stochastic models. MR 957106, DOI https://doi.org/10.1007/BF01083646
- N. V. Kartashov, Strong stable Markov chains, VSP, Utrecht; TBiMC Scientific Publishers, Kiev, 1996. MR 1451375
- R. Z. Khasminskii, G. Yin, and Q. Zhang, Singularly perturbed Markov chains: quasi-stationary distribution and asymptotic expansion, Proceedings of Dynamic Systems and Applications, Vol. 2 (Atlanta, GA, 1995) Dynamic, Atlanta, GA, 1996, pp. 301–308. MR 1419542
- J. F. C. Kingman, The exponential decay of Markov transition probabilities, Proc. London Math. Soc. (3) 13 (1963), 337–358. MR 152014, DOI https://doi.org/10.1112/plms/s3-13.1.337
- Vladimir S. Koroliuk and Nikolaos Limnios, Stochastic systems in merging phase space, World Scientific Publishing Co. Pte. Ltd., Hackensack, NJ, 2005. MR 2205562
- Guy Latouche, Perturbation analysis of a phase-type queue with weakly correlated arrivals, Adv. in Appl. Probab. 20 (1988), no. 4, 896–912. MR 968004, DOI https://doi.org/10.2307/1427366
- M. Petersson and D. S. Silvestrov, Asymptotic expansions for perturbed discrete time renewal equations and regenerative processes, Report 2012:12, Mathematical Statistics, Stockholm University, 2012.
- E. Seneta and D. Vere-Jones, On quasi-stationary distributions in discrete-time Markov chains with a denumerable infinity of states, J. Appl. Probability 3 (1966), 403–434. MR 207047, DOI https://doi.org/10.2307/3212128
- Dmitrii S. Silvestrov, Nonlinearly perturbed Markov chains and large deviations for lifetime functionals, Recent advances in reliability theory (Bordeaux, 2000) Stat. Ind. Technol., Birkhäuser Boston, Boston, MA, 2000, pp. 135–144. MR 1783479
- D. S. Silvestrov and M. Petersson, Exponential expansions for perturbed discrete time renewal equations, Applied Reliability Engineering and Risk Analysis: Probabilistic Models and Statistical Inference (I. Frenkel, A. Karagrigoriou, A. Kleyner, and A. Lisnianski, eds.), Wiley, Chichester, 2013, pp. 349–362.
- D. Vere-Jones, Geometric ergodicity in denumerable Markov chains, Quart. J. Math. Oxford Ser. (2) 13 (1962), 7–28. MR 141160, DOI https://doi.org/10.1093/qmath/13.1.7
- G. Yin and Dung Tien Nguyen, Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time, Acta Math. Appl. Sin. Engl. Ser. 25 (2009), no. 3, 457–476. MR 2506986, DOI https://doi.org/10.1007/s10255-008-8820-4
- G. Yin and Q. Zhang, Discrete-time singularly perturbed Markov chains, Stochastic modeling and optimization, Springer, New York, 2003, pp. 1–42. MR 1963518
References
- E. Altman, K. E. Avrachenkov, and R. Núñes-Queija, Perturbation analysis for denumerable Markov chains with application to queueing models, Adv. Appl. Probab. 36 (2004), no. 3, 839–853. MR 2079917 (2005h:60210)
- J. Darroch and E. Seneta, On quasi-stationary distributions in absorbing discrete-time finite Markov chains, J. Appl. Probab. 2 (1965), 88–100. MR 0179842 (31:4083)
- J. Darroch and E. Seneta, On quasi-stationary distributions in absorbing continuous-time finite Markov chains, J. Appl. Probab. 4 (1967), 192–196. MR 0212866 (35:3731)
- E. Ekheden and D. S. Silvestrov, Coupling and explicit rate of convergence in Cramér–Lundberg approximation for reinsurance risk processes, Comm. Statist. Theory Methods 40 (2011), no. 19–20, 3524–3539. MR 2860755
- E. Englund and D. S. Silvestrov, Mixed large deviation and ergodic theorems for regenerative processes with discrete time, Theory Stoch. Process. 3(19) (1997), no. 1–2, 164–176.
- W. Feller An Introduction to Probability Theory and Its Applications, Vol. II, Wiley Series in Probability and Statistics, Wiley, New York, 1966, 1971. MR 0270403 (42:5292)
- J. Grandell, Aspects of Risk Theory, Probability and Its Applications, Springer, New York, 1991. MR 1084370 (92a:62151)
- M. Gyllenberg and D. S. Silvestrov, Quasi-stationary distributions of a stochastic metapopulation model, J. Math. Biol. 33 (1994), 35–70. MR 1306150 (96b:92012)
- M. Gyllenberg and D. S. Silvestrov, Quasi-Stationary Phenomena in Nonlinearly Perturbed Stochastic Systems, De Gruyter Expositions in Mathematics, vol. 44, Walter de Gruyter, Berlin, 2008. MR 2456816 (2009k:60005)
- R. Hassin and M. Haviv, Mean passage times and nearly uncoupled Markov chain, SIAM J. Disc. Math. 5 (1992), 386–397. MR 1172747 (93m:60146)
- N. V. Kartashov, Asymptotic expansions and inequalities in stability theorems for general Markov chains with relatively bounded perturbations. Stability problems of stochastic models, J. Soviet Math. 40 (1988), no. 4, 509–518. MR 957106 (89j:60089)
- N. V. Kartashov, Strong Stable Markov Chains, VSP/TViMS, Utrecht/Kiev, 1996. MR 1451375 (99e:60150)
- R. Z. Khasminskii, G. Yin, and Q. Zhang, Singularly perturbed Markov chains: quasi-stationary distribution and asymptotic expansion, Proceedings of Dynamic Systems and Applications, vol. 2 (Atlanta, GA, 1995), Dynamic, Atlanta, GA, 1996, pp. 301–308. MR 1419542 (97k:34082)
- J. F. C. Kingman, The exponential decay of Markovian transition probabilities, Proc. London Math. Soc. 13 (1963), 337–358. MR 0152014 (27:1995)
- V. S. Koroliuk and N. Limnios, Stochastic Systems in Merging Phase Space, World Scientific, Singapore, 2005. MR 2205562 (2007a:60004)
- G. Latouche, Perturbation analysis of a phase-type queue with weakly correlated arrivals, Adv. Appl. Probab. 20 (1988), 896–912. MR 968004 (89i:60184)
- M. Petersson and D. S. Silvestrov, Asymptotic expansions for perturbed discrete time renewal equations and regenerative processes, Report 2012:12, Mathematical Statistics, Stockholm University, 2012.
- E. Seneta and D. Vere-Jones, On quasi-stationary distributions in discrete-time Markov chains with a denumerable infinity of states, J. Appl. Probab. 3 (1966), 403–434. MR 0207047 (34:6863)
- D. S. Silvestrov, Nonlinearly perturbed Markov chains and large deviations for lifetime functionals, Recent Advances in Reliability Theory: Methodology, Practice and Inference (N. Limnios and M. Nikulin, eds.), Birkhäuser, Boston, 2000, pp. 135–144. MR 1783479
- D. S. Silvestrov and M. Petersson, Exponential expansions for perturbed discrete time renewal equations, Applied Reliability Engineering and Risk Analysis: Probabilistic Models and Statistical Inference (I. Frenkel, A. Karagrigoriou, A. Kleyner, and A. Lisnianski, eds.), Wiley, Chichester, 2013, pp. 349–362.
- D. Vere-Jones, Geometric ergodicity in denumerable Markov chains, Quart. J. Math. 13 (1962), 7–28. MR 0141160 (25:4571)
- G. Yin and D. T. Nguyen, Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time, Acta Math. Appl. Sin. Engl. Ser. 25 (2009), no. 3, 457–476. MR 2506986 (2010e:60162)
- G. Yin and Q. Zhang, Discrete-time singularly perturbed Markov chains, Stochastic Modelling and Optimization, Springer, New York, 2003, pp. 1–42. MR 1963518 (2004b:90143)
Similar Articles
Retrieve articles in Theory of Probability and Mathematical Statistics
with MSC (2010):
60K05,
34E10,
60K25
Retrieve articles in all journals
with MSC (2010):
60K05,
34E10,
60K25
Additional Information
Mikael Petersson
Affiliation:
Department of Mathematics, Stockholm University, SE-106 91 Stockholm, Sweden
Email:
mikpe@math.su.se
Keywords:
Regenerative process,
renewal equation,
non-linear perturbation,
quasi-stationary distribution,
asymptotic expansion,
risk process
Received by editor(s):
November 11, 2012
Published electronically:
January 26, 2015
Article copyright:
© Copyright 2015
American Mathematical Society