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Markov chains with heavy-tailed increments and asymptotically zero drift (1806.07166v1)

Published 19 Jun 2018 in math.PR

Abstract: We study the recurrence/transience phase transition for Markov chains on $\mathbb{R}+$, $\mathbb{R}$, and $\mathbb{R}2$ whose increments have heavy tails with exponent in $(1,2)$ and asymptotically zero mean. This is the infinite-variance analogue of the classical Lamperti problem. On $\mathbb{R}+$, for example, we show that if the tail of the positive increments is about $c y{-\alpha}$ for an exponent $\alpha \in (1,2)$ and if the drift at $x$ is about $b x{-\gamma}$, then the critical regime has $\gamma = \alpha -1$ and recurrence/transience is determined by the sign of $b + c\pi \textrm{cosec} (\pi \alpha)$. On $\mathbb{R}$ we classify whether transience is directional or oscillatory, and extend an example of Rogozin & Foss to a class of transient martingales which oscillate between $\pm \infty$. In addition to our recurrence/transience results, we also give sharp results on the existence/non-existence of moments of passage times.

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