TY - BOOK

T1 - A scaling analysis of a cat and mouse Markov chain

AU - Litvak, Nelli

AU - Robert, Philippe

N1 - Paper is deposited at arxiv
http://arxiv.org/abs/0905.2259

PY - 2009/6

Y1 - 2009/6

N2 - Motivated by an original on-line page-ranking algorithm, starting from an arbitrary Markov chain $(C_n)$ on a discrete state space ${\cal S}$, a Markov chain $(C_n,M_n)$ on the product space ${\cal S}^2$, 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 $(C_n)$ 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 $\mathbb{Z}$ and $\mathbb{Z}^2$, reflected simple random walk in $\mathbb{N}$ 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.

AB - Motivated by an original on-line page-ranking algorithm, starting from an arbitrary Markov chain $(C_n)$ on a discrete state space ${\cal S}$, a Markov chain $(C_n,M_n)$ on the product space ${\cal S}^2$, 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 $(C_n)$ 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 $\mathbb{Z}$ and $\mathbb{Z}^2$, reflected simple random walk in $\mathbb{N}$ 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.

KW - Scaling of null recurrent Markov chains

KW - Cat and mouse Markov chains

KW - IR-65499

KW - METIS-263862

KW - Pagerank algorithms

KW - EWI-15388

M3 - Report

T3 - Memorandum / Department of Applied Mathematics

BT - A scaling analysis of a cat and mouse Markov chain

PB - University of Twente

CY - Enschede

ER -