Non-markovian limits of additive functionals of Markov processes

Milton Jara; Tomasz Komorowski

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arXiv · 0905.2163

Non-markovian limits of additive functionals of Markov processes

Milton Jara·Tomasz Komorowski

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Abstract

In this paper we consider an additive functional of an observable $V(x)$ of a Markov jump process. We assume that the law of the expected jump time $t(x)$ under the invariant probability measure $π$ of the skeleton chain belongs to the domain of attraction of a subordinator. Then, the scaled limit of the functional is a Mittag-Leffler proces, provided that $Ψ(x):=V(x)t(x)$ is square integrable w.r.t. $π$. When the law of $Ψ(x)$ belongs to a domain of attraction of a stable law the resulting process can be described by a composition of a stable process and the inverse of a subordinator and these processes are not necessarily independent. On the other hand when the singularities of $Ψ(x)$ and $t(x)$ do not overlap with large probability the law of the resulting process has some scaling invariance property. We provide an application of the results to a process that arises in quantum transport theory.

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BibTeX RIS

Milton Jara, Tomasz Komorowski. 2010-10-06. Non-markovian limits of additive functionals of Markov processes. https://arxiv.org/abs/0905.2163

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