LIMIT THEOREMS FOR STOPPED FUNCTIONALS
OF MARKOV RENEWAL PROCESSES

GEROLD ALSMEYER1 AND ALLAN GUT2

1 Institut für Mathematische Statistik, Westfählische Wilhelms-Universität Münster,
Einsteinstrasse 62, D-48 149 Münster, Germany

2 Department of Mathematics, Uppsala University, P.O. Box 480, S-751 06 Uppsala, Sweden

(Received June 30, 1997; revised February 23, 1998)

Abstract.    Some results for stopped random walks are extended to the Markov renewal setup where the random walk is driven by a Harris recurrent Markov chain. Some interesting applications are given; for example, a generalization of the alternating renewal process.

Key words and phrases:    Markov renewal process, semi-Markov process, Harris recurrent, stopped sums, m-dependence, Anscombe's theorem, law of large numbers, central limit theorem, law of the iterated logarithm.

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