Original scientific paper

https://doi.org/10.3336/gm.57.1.09

Exponential moments of simultaneous hitting time for non-atomic Markov chains

Vitaliy Golomoziy ; Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64 Volodymyrska st, Kyiv, 01033, Ukraine

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Abstract

This paper is devoted to studying the first simultaneous hitting time of a given set by two discrete-time, inhomogeneous Markov chains with values in general phase space. Established conditions for the existence of the hitting time's exponential moment. Computable bounds for the exponential moment are obtained under the condition of stochastic dominance.

Keywords

Markov chains, coupling method, inhomogeneous renewal theory

Hrčak ID:

279804

URI

https://hrcak.srce.hr/279804

Publication date:

28.6.2022.

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