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On exponential limit laws for hitting times of rare sets for Harris chains and processes
Published online by Cambridge University Press: 14 July 2016
Abstract
This paper provides a simple proof for the fact that the hitting time to an infrequently visited subset for a one-dependent regenerative process converges weakly to an exponential distribution. Special cases are positive recurrent Harris chains and Harris processes. The paper further extends this class of limit theorems to ‘rewards’ that are cumulated to the hitting time of such a rare set.
Keywords
- Type
- Part 7. Queueing Theory and Markov Processes
- Information
- Journal of Applied Probability , Volume 48 , Issue A: New Frontiers in Applied Probability (Journal of Applied Probability Special Volume 48A) , August 2011 , pp. 319 - 326
- Copyright
- Copyright © Applied Probability Trust 2011
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