6533b86efe1ef96bd12cc91c

RESEARCH PRODUCT

Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates

Luisa BeghinClaudio MacciBarbara Martinucci

subject

Statistics and ProbabilityPure mathematicsSubordinatormoderate deviationsInversefractional processfractional process; large deviations; moderate deviations; tempered stable subordinatorlarge deviationsChain (algebraic topology)FOS: MathematicsProbability-generating function60F10 60J27 60G22 60G52MathematicsMarkov chainlcsh:T57-57.97lcsh:MathematicsProbability (math.PR)State (functional analysis)tempered stable subordinatorlcsh:QA1-939Modeling and SimulationSettore MAT/06lcsh:Applied mathematics. Quantitative methodsLarge deviations theoryStatistics Probability and UncertaintyRandom variableMathematics - Probability

description

We consider continuous-time Markov chains on integers which allow transitions to adjacent states only, with alternating rates. We give explicit formulas for probability generating functions, and also for means, variances and state probabilities of the random variables of the process. Moreover we study independent random time-changes with the inverse of the stable subordinator, the stable subordinator and the tempered stable subodinator. We also present some asymptotic results in the fashion of large deviations. These results give some generalizations of those presented in Di Crescenzo A., Macci C., Martinucci B. (2014).

yearjournalcountryeditionlanguage
2021-01-01
10.15559/20-vmsta169http://hdl.handle.net/2108/272094