Abstract
A stable-like Markov chain is a time-homogeneous Markov chain on the real line with the transition kernel \(p(x,\hbox {d}y)=f_x(y-x)\hbox {d}y\), where the density functions \(f_x(y)\), for large \(|y|\), have a power-law decay with exponent \(\alpha (x)+1\), where \(\alpha (x)\in (0,2)\). In this paper, under a certain uniformity condition on the density functions \(f_x(y)\) and additional mild drift conditions, we give sufficient conditions for recurrence in the case when \(0<\liminf _{|x|\longrightarrow \infty }\alpha (x)\), sufficient conditions for transience in the case when \(\limsup _{|x|\longrightarrow \infty }\alpha (x)<2\) and sufficient conditions for ergodicity in the case when \(0<\inf \{\alpha (x):x\in \mathbb {R}\}\). As a special case of these results, we give a new proof for the recurrence and transience property of a symmetric \(\alpha \)-stable random walk on \(\mathbb {R}\) with the index of stability \(\alpha \ne 1\).
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Acknowledgments
This work has been supported in part by the Croatian Science Foundation under Project 3526. The author would like to thank the anonymous reviewer for careful reading of the paper and for helpful comments that led to improvement in the presentation.
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Sandrić, N. Ergodic Property of Stable-Like Markov Chains. J Theor Probab 29, 459–490 (2016). https://doi.org/10.1007/s10959-014-0586-4
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DOI: https://doi.org/10.1007/s10959-014-0586-4
Keywords
- Ergodicity
- Foster–Lyapunov drift criteria
- Recurrence
- Stable distribution
- Stable-like Markov chain
- Transience