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Moments for stationary Markov chains with asymptotically zero drift

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Moments for stationary Markov chains with asymptotically zero drift. / Korshunov, Dmitry.
In: Siberian Mathematical Journal, Vol. 52, No. 4, 07.2011, p. 655-664.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Korshunov, D 2011, 'Moments for stationary Markov chains with asymptotically zero drift', Siberian Mathematical Journal, vol. 52, no. 4, pp. 655-664. https://doi.org/10.1134/S0037446611040100

APA

Korshunov, D. (2011). Moments for stationary Markov chains with asymptotically zero drift. Siberian Mathematical Journal, 52(4), 655-664. https://doi.org/10.1134/S0037446611040100

Vancouver

Korshunov D. Moments for stationary Markov chains with asymptotically zero drift. Siberian Mathematical Journal. 2011 Jul;52(4):655-664. doi: 10.1134/S0037446611040100

Author

Korshunov, Dmitry. / Moments for stationary Markov chains with asymptotically zero drift. In: Siberian Mathematical Journal. 2011 ; Vol. 52, No. 4. pp. 655-664.

Bibtex

@article{b9a885812af94ee5b37ae20d4e52856f,
title = "Moments for stationary Markov chains with asymptotically zero drift",
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.",
keywords = "stationary Markov chain, asymptotically zero drift , invariant distribution, heavy-tailed distribution, power moments, Weibull-type moments, test (Lyapunov) functions, equilibrium identity ",
author = "Dmitry Korshunov",
year = "2011",
month = jul,
doi = "10.1134/S0037446611040100",
language = "English",
volume = "52",
pages = "655--664",
journal = "Siberian Mathematical Journal",
issn = "0037-4466",
publisher = "Springer New York",
number = "4",

}

RIS

TY - JOUR

T1 - Moments for stationary Markov chains with asymptotically zero drift

AU - Korshunov, Dmitry

PY - 2011/7

Y1 - 2011/7

N2 - 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.

AB - 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.

KW - stationary Markov chain

KW - asymptotically zero drift

KW - invariant distribution

KW - heavy-tailed distribution

KW - power moments

KW - Weibull-type moments

KW - test (Lyapunov) functions

KW - equilibrium identity

U2 - 10.1134/S0037446611040100

DO - 10.1134/S0037446611040100

M3 - Journal article

VL - 52

SP - 655

EP - 664

JO - Siberian Mathematical Journal

JF - Siberian Mathematical Journal

SN - 0037-4466

IS - 4

ER -