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On a semi-Markov generalization of the random walk

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  • Cheong, Choong K.
  • Teugels, Jozef L.

Abstract

The semi-Markov process studied here is a generalized random walk on the non-negative integers with zero as a reflecting barrier, in which the time interval between two consecutive jumps is given an arbitrary distribution H(t). Our process is identical with the Markov chain studied by Miller [6] in the special case when H(t)=U1(t), the Heaviside function with unit jump at t=1. By means of a Spitzer-Baxter type identity, we establish criteria for transience, positive and null recurrence, as well as conditions for exponential ergodicity. The results obtained here generalize those of [6] and some classical results in random walk theory [10].

Suggested Citation

  • Cheong, Choong K. & Teugels, Jozef L., 1973. "On a semi-Markov generalization of the random walk," Stochastic Processes and their Applications, Elsevier, vol. 1(1), pages 53-66, January.
    • Handle: RePEc:eee:spapps:v:1:y:1973:i:1:p:53-66
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