Fluctuation theory for Markov random walks (1608.08377v2)

Abstract: Two fundamental theorems by Spitzer/Erickson and Kesten/Maller on the fluctuation type (positive divergence, negative divergence or oscillation) of a real-valued random walk $(S_{n}){n\ge 0}$ with iid increments $X{1},X_{2},\ldots$ and the existence of moments of various related quantities like the first passage into $[x,\infty)$ and the last exit time from $(-\infty,x]$ for arbitrary $x\in\mathbb{R}{\geqslant}$ are studied in the Markov-modulated situation when the $X{n}$ are governed by a positive recurrent Markov chain $M=(M_{n}){n\ge 0}$ on a countable state space $\mathcal{S}$, thus for a Markov random walk $(M{n},S_{n}){n\ge 0}$. Our approach is based on the natural strategy to draw on the results in the iid case for the embedded ordinary random walks $(S{\tau_{n}(i)}){n\ge 0}$, where $\tau{1}(i),\tau_{2}(i),\ldots$ denote the successive return times of $M$ to state $i$, and an analysis of the excursions of the walk between these epochs. However, due to these excursions, generalizations of the afore-mentioned theorems are not one-to-one extensions of those in the iid case and cannot be as illustrated by a number of counterexamples. In fact, various excursion measures will have to be introduced so as to characterize the existence of moments of different quantities.