Non-markovian limits of additive functionals of Markov processes

Details Non-markovian limits of additive functionals of Markov processes Non-markovian limits of additive functionals of Markov processes

2009-05-13

arxiv.org/abs/0905.2163v2

Mathematics

Probability

Scientific paper

In this paper we consider an additive functional of an observable $V(x)$ of a Markov jump process. We assume that the law of the expected jump time $t(x)$ under the invariant probability measure $\pi$ of the skeleton chain belongs to the domain of attraction of a subordinator. Then, the scaled limit of the functional is a Mittag-Leffler proces, provided that $\Psi(x):=V(x)t(x)$ is square integrable w.r.t. $\pi$. When the law of $\Psi(x)$ belongs to a domain of attraction of a stable law the resulting process can be described by a composition of a stable process and the inverse of a subordinator and these processes are not necessarily independent. On the other hand when the singularities of $\Psi(x)$ and $t(x)$ do not overlap with large probability the law of the resulting process has some scaling invariance property. We provide an application of the results to a process that arises in quantum transport theory.

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