Large-Deviation Probabilities for One-Dimensional Markov Chains. Part 2: Prestationary Distributions in the Exponential Case
Alexandr Alekseevich Borovkov, Dmitry Alekseevich Korshunov · Theory of Probability and Its Applications · 2001
This paper continues investigations of [A. A. Borovkov and A. D. Korshunov, Theory Probab.\ Appl., 41 (1996), pp. 1--24]. We consider a time-homogeneous and asymptotically space-homogeneous Markov chain $\{X(n)\}$ that takes values on the real line and has increments possessing a finite exponential moment. The asymptotic behavior of the probability {\bf P}$\{X(n)\ge x\}$ is studied as~$x\to\infty$ for fixed or growing values of time~n. In particular, we extract the ranges of~n within which this probability is asymptotically equivalent to the tail of a stationary distribution~$\pi(x)$ (the latter is studied in [A. A. Borovkov and A. D. Korshunov, Theory Probab. Appl., 41 (1996), pp.~1--24] and is detailed in section 27 of [A. A. Borovkov, Ergodicity and Stability of Stochastic Processes, Wiley, New York, 1998]).