The Annals of Probability

Conditioned Limit Theorems for Some Null Recurrent Markov Processes

Richard Durrett

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Abstract

Let $\{v_k, k \geqq 0\}$ be a discrete time Markov process with state space $E \subset (-\infty, \infty)$ and let $S$ be a proper subset of $E$. In several applications it is of interest to know the behavior of the system after a large number of steps, given that the process has not entered $S$. In this paper we show that under some mild restrictions there is a functional limit theorem for the conditioned sequence if there was one for the original sequence. As applications we obtain results for branching processes, random walks, and the M/G/1 queue which complete or extend the work of previous authors. In addition we consider the convergence of conditioned birth and death processes and obtain results which are complete except in the case that 0 is an absorbing boundary.

Article information

Source
Ann. Probab., Volume 6, Number 5 (1978), 798-828.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176995430

Digital Object Identifier
doi:10.1214/aop/1176995430

Mathematical Reviews number (MathSciNet)
MR503953

Zentralblatt MATH identifier
0398.60023

JSTOR
links.jstor.org

Subjects
Primary: 60F05: Central limit and other weak theorems
Secondary: 60J15 60J80: Branching processes (Galton-Watson, birth-and-death, etc.) 60K25: Queueing theory [See also 68M20, 90B22]

Keywords
Conditioned limit theorems functional limit theorems random walks branching processes $M/G/1$ queue birth and death processes diffusions

Citation

Durrett, Richard. Conditioned Limit Theorems for Some Null Recurrent Markov Processes. Ann. Probab. 6 (1978), no. 5, 798--828. doi:10.1214/aop/1176995430. https://projecteuclid.org/euclid.aop/1176995430


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