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Non-markovian limits of additive functionals of Markov processes | | Milton Jara
; Tomasz Komorowski
; | | Date: |
13 May 2009 | | 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 $pi$ 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 $Psi(x):=V(x)t(x)$ is
square integrable w.r.t. $pi$. When the law of $Psi(x)$ 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 $Psi(x)$ 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. | | Source: | arXiv, 0905.2163 | | Services: | Forum | Review | PDF | Favorites | |
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