A scaling analysis of a cat and mouse Markov chain
Litvak, Nelly and Robert, Philippe (2009) A scaling analysis of a cat and mouse Markov chain. [Report]
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Abstract:  Motivated by an original online pageranking algorithm, starting from an arbitrary Markov chain on a discrete state space , a Markov chain on the product space , the cat and mouse Markov chain, is constructed. The first coordinate of this Markov chain behaves like the original Markov chain and the second component changes only when both coordinates are equal. The asymptotic properties of this Markov chain are investigated. A representation of its invariant measure is in particular obtained. When the state space is infinite it is shown that this Markov chain is in fact null recurrent if the initial Markov chain is positive recurrent and reversible. In this context, the scaling properties of the location of the second component, the mouse, are investigated in various situations: simple random walks in and , reflected simple random walk in and also in a continuous time setting. For several of these processes, a time scaling with rapid growth gives an interesting asymptotic behavior related to limit results for occupation times and rare events of Markov processes.

Item Type:  Report 
Faculty:  Electrical Engineering, Mathematics and Computer Science (EEMCS) 
Research Group:  
Link to this item:  http://purl.utwente.nl/publications/65499 
Official URL:  http://arxiv.org/abs/0905.2259 
Publisher URL:  http://www.math.utwente.nl/publications 
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Metis ID: 263862