The law of the iterated logarithm for a piecewise deterministic Markov process assured by the properties of the Markov chain given by its post-jump locations
Abstract:In the paper, we consider some piecewise deterministic Markov process, whose continuous component evolves according to semiflows, which are switched at the jump times of a Poisson process. The associated Markov chain describes the states of this process directly after the jumps. Certain ergodic properties of these two dynamical systems have been already investigated in our recent papers. We now aim to establish the law of the iterated logarithm for the aforementioned continuous-time process. Moreover, we inten… Show more
“…Limit theorems for Markov processes have recently been the subject of intense research (see e.g. [1,6,9,10,16]). The LIL defines a range in which, with probability 1, from a certain point the trajectories of the stochastic process will be found.…”
In this paper our considerations are focused on some Markov chain associated with certain piecewise-deterministic Markov process with a state-dependent jump intensity for which the exponential ergodicity was obtained in [4]. Using the results from [3] we show that the law of iterated logarithm holds for such a model.
“…Limit theorems for Markov processes have recently been the subject of intense research (see e.g. [1,6,9,10,16]). The LIL defines a range in which, with probability 1, from a certain point the trajectories of the stochastic process will be found.…”
In this paper our considerations are focused on some Markov chain associated with certain piecewise-deterministic Markov process with a state-dependent jump intensity for which the exponential ergodicity was obtained in [4]. Using the results from [3] we show that the law of iterated logarithm holds for such a model.
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