Moments for stationary Markov chains with asymptotically zero drift

Korshunov, Dmitry (2011) Moments for stationary Markov chains with asymptotically zero drift. Siberian Mathematical Journal, 52 (4). pp. 655-664. ISSN 0037-4466

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Abstract

We consider a Markov chain on ℝ+ with asymptotically zero drift and finite second moments of jumps. We assume that the chain has invariant distribution. The paper is devoted to the existence and nonexistence of moments of invariant distribution. Our analysis is based on the technique of test functions.

Item Type:

Journal Article

Journal or Publication Title:

Siberian Mathematical Journal

Uncontrolled Keywords:

/dk/atira/pure/subjectarea/asjc/2600/2600

Subjects:

?? stationary markov chainasymptotically zero drift invariant distributionheavy-tailed distributionpower momentsweibull-type momentstest (lyapunov) functionsequilibrium identity general mathematicsmathematics(all)discipline-based research ??

Departments:

Faculty of Science and Technology > Mathematics and Statistics

ID Code:

76865

Deposited By:

ep_importer_pure

Deposited On:

24 Nov 2015 16:40

Refereed?:

Yes

Published?:

Published

Last Modified:

16 Jul 2024 09:52

URI:

https://eprints.lancs.ac.uk/id/eprint/76865