2023
DOI: 10.1017/apr.2023.42
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The asymptotic tails of limit distributions of continuous-time Markov chains

Chuang Xu,
Mads Christian Hansen,
Carsten Wiuf

Abstract: This paper investigates tail asymptotics of stationary distributions and quasi-stationary distributions (QSDs) of continuous-time Markov chains on subsets of the non-negative integers. Based on the so-called flux-balance equation, we establish identities for stationary measures and QSDs, which we use to derive tail asymptotics. In particular, for continuous-time Markov chains with asymptotic power law transition rates, tail asymptotics for stationary distributions and QSDs are classified into three types using… Show more

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