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Sibirskii Matematicheskii Zhurnal, 2011, Volume 52, Number 4, Pages 829–840 (Mi smj2242)  
This article is cited in 2 scientific papers (total in 2 papers)

Moments for stationary Markov chains with asymptotically zero drift

D. A. Korshunov

Sobolev Institute of Mathematics, Novosibirsk, Russia
Full-text PDF (303 kB) Citations (2)
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Abstract: We consider a Markov chain on $\mathbb R^+$ 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.
Keywords: stationary Markov chain, asymptotically zero drift, invariant distribution, heavy-tailed distribution, power moments, Weibull-type moments, test (Lyapunov) functions, equilibrium identity.
Received: 23.01.2011
English version:
Siberian Mathematical Journal, 2011, Volume 52, Issue 4, Pages 655–664
DOI: https://doi.org/10.1134/S0037446611040100
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: D. A. Korshunov, “Moments for stationary Markov chains with asymptotically zero drift”, Sibirsk. Mat. Zh., 52:4 (2011), 829–840; Siberian Math. J., 52:4 (2011), 655–664
Citation in format AMSBIB
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\paper Moments for stationary Markov chains with asymptotically zero drift
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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