A Limit Theorem for a Class of Inhomogeneous Markov Processes

Abstract

Let $\{X(t): t \in R^+ \text{or} I^+\}$ be an (aperiodic) irreducible Markov process with a finite state space $S$ and transition rate $q_{ij}(t) = p(i, j)(\lambda(t))^{U(i, j)}$, where $0 \leq U(i, j) \leq \infty$ and $\lambda(t)$ is some suitable rate function with $\lim_{t \rightarrow \infty}\lambda(t) = 0$. We shall show in this article that there are constants $h(i) \geq 0$ and $\beta_i > 0$ such that independent of $X(0), \lim_{t \rightarrow \infty}P(X(t) = i) \div (\lambda(t))^{h(i)} = \beta_i$ for each $i \in S$. The height function $h$ is determined by $(p(i, j))$ and $(U(i, j))$. In particular, a limit distribution exists and concentrates on $\underline{S} = \{i \in S: h(i) = 0\}$.