Publication date: 30 June 2022
Volume: Vol 57
Issue: Svezak 1
Pages: 129-147
DOI: https://doi.org/10.3336/gm.57.1.09
Glasnik matematički, Vol. 57 No. 1, 2022.
Izvorni znanstveni članak
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
Sažetak
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.
Ključne riječi
Markov chains, coupling method, inhomogeneous renewal theory
Hrčak ID:
279804
URI
Datum izdavanja:
28.6.2022.
Posjeta: 303 *