On a class of additive functionals of Markov processes

Non-markovian Limits of Additive Functionals of Markov Processes

Abstract. 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 π 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 Ψ(x) := V (x)t(x) is square integ...

Deviation Bounds for Additive Functionals of Markov Processes

where X is a μ stationary and ergodic Markov process and V is some μ integrable function. These bounds are obtained under various moments assumptions for V , and various regularity assumptions for μ. Regularity means here that μ may satisfy various functional inequalities (F-Sobolev, generalized Poincaré etc...).

Transformations Of_ Markov Processes Connected with Additive Functionals

On Markov-Additive Jump Processes

In 1995, Pacheco and Prabhu introduced the class of so–called Markov–additive processes of arrivals in order to provide a general class of arrival processes for queueing theory. In this paper, the above class is generalized considerably, including time–inhomogeneous arrival rates, general phase spaces and the arrival space being a general vector space (instead of the finite–dimensional Euclidea...

Additive functionals and excursions of Kuznetsov processes

Let B be a continuous additive functional for a standard process (Xt)t∈R+ and let (Yt)t∈R be a stationary Kuznetsov process with the same semigroup of transition. In this paper, we give the excursion laws of (Xt)t∈R+ conditioned on the strict past and future without duality hypothesis. We study excursions of a general regenerative system and of a regenerative system consisting of the closure of...