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arXiv · 1709.07578

Yaglom limits can depend on the starting state

R. D. Foley·D. R. McDonald
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Abstract

We construct a simple example, surely known to Harry Kesten, of an R-transient Markov chain on a countable state space S with cemetery state delta. The transition matrix K on S is irreducible and strictly substochastic. We determine the Yaglom limit, that is, the limiting conditional behavior given non-absorption. Each starting state x in S results in a different Yaglom limit. Each Yaglom limit is an rho-invariant quasi-stationary distribution where rho=1/R and R is the convergence parameter of $K$. Yaglom limits that depend on the starting state are related to a nontrivial rho-Martin entrance boundary.

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R. D. Foley, D. R. McDonald. 2017-09-22. Yaglom limits can depend on the starting state. https://arxiv.org/abs/1709.07578

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