The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes

Eva Loecherbach (1) , Loukianova Dasha (2)

1 AGM - UMR 8088 - Analyse, Géométrie et Modélisation
2 LAP - Laboratoire Analyse et Probabilités

We use Nummelin splitting in continuous time in order to prove laws of iterated logarithm for additive functionals of a Harris recurrent Markov process, with deterministic or random renormalization.

Mots clés: Harris recurrence; Nummelin splitting; Continuous time Markov processes; Additive functionals; Law of iterated logarithm

Domaines: Probabilités [math.PR]

Eva Loecherbach, Loukianova Dasha. The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes. Stochastic Processes and their Applications, 2009, 119 (7), pp.2312-2335. ⟨10.1016/j.spa.2008.11.006⟩. ⟨hal-00798510⟩