On sigma-finite measures related to the Martin boundary of recurrent Markov chains

Joseph Najnudel

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arXiv · 1411.2024

On sigma-finite measures related to the Martin boundary of recurrent Markov chains

Joseph Najnudel

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Abstract

In our monograph with B. Roynette and M. Yor, we construct a sigma-finite measure related to penalisations of different stochastic processes, including the Brownian motion in dimension 1 or 2, and a large class of linear diffusions. In the last chapter of the monograph, we define similar measures from recurrent Markov chains satisfying some technical conditions. In the present paper, we give a classification of these measures, in function of the minimal Martin boundary of the Markov chain considered at the beginning. We apply this classification to the examples considered at the end of our monograph.

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Joseph Najnudel. 2014-11-07. On sigma-finite measures related to the Martin boundary of recurrent Markov chains. https://arxiv.org/abs/1411.2024

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