The first returning speed and the last exit speed of a type of Markov chain

Abstract

Let $\{X_n\}$ be a Markov chain with transition probability $p_{ij}=a_{j-(i-1{)}^{+}},\forall i,j\ge 0$, where $a_j=0$ provided $j<0$, $a_0>0$, $a_0+a_1<1$ and ${\sum }_{n=0}^{\infty }{a}_n=1$. Let $\mu ={\sum }_{n=1}^{\infty }n{a}_n$. It's known that $\{X_n\}$ is positive recurrent when $\mu <1$; is null recurrent when $\mu =1$; and is transient when $\mu >1$. In this paper, we shall discuss the first returning speed and the last exit speed more precisely by means of $\{a_n\}$