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JOURNALS // Sibirskii Matematicheskii Zhurnal // Archive

Sibirsk. Mat. Zh., 2011 Volume 52, Number 4, Pages 829–840 (Mi smj2242)

This article is cited in 2 papers

Moments for stationary Markov chains with asymptotically zero drift

D. A. Korshunov

Sobolev Institute of Mathematics, Novosibirsk, Russia

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.

UDC: 519.21

Received: 23.01.2011


 English version:
Siberian Mathematical Journal, 2011, 52:4, 655–664

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© Steklov Math. Inst. of RAS, 2024