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Preprints, Working Papers, ... Year : 2024

Computing the Yaglom limit of Markov chains with a single exit state using their excursion measure

Elie Cerf
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Abstract

We prove in this article the existence of the Yaglom limit for Markov chains on discrete state spaces in the setting where the absorbing state is accessible from a single non-absorbing state. We use a representation of the trajectories of this process by its excursion away from death, that allows us to link the Yaglom limit with the large deviations behaviour of the inverse of its local time at the exit state, and to compute its minimal quasi-stationary distribution with its excursion measure.
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Dates and versions

hal-04603018 , version 1 (06-06-2024)
hal-04603018 , version 2 (10-06-2024)

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  • HAL Id : hal-04603018 , version 2

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Elie Cerf. Computing the Yaglom limit of Markov chains with a single exit state using their excursion measure. 2024. ⟨hal-04603018v2⟩
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