Renewal Theory for Functionals of a Markov Chain with Compact State Space

Klüppelberg, Claudia; Pergamenchtchikov, S. (2001): Renewal Theory for Functionals of a Markov Chain with Compact State Space. Collaborative Research Center 386, Discussion Paper 264

Abstract

Motivated by multivariate random recurrence equations we prove a new analogue of the Key Renewal Theorem for functionals of a Markov chain with compact state space in the spirit of Kesten. We simplify and modify Kesten's proof.

• Item Type: Paper (Research Paper)
• Keywords: key renewal theorem, Markov chain, random recurrence equation, Riemann integrability
• Faculties: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics
• Language: English