Exponential moments of simultaneous hitting time for non-atomic Markov chains-Reference-Cited by-同舟云学术

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

Published:2022-06-28 Issue:1 Volume:57 Page:129-147
ISSN:0017-095X
Container-title:Glasnik Matematicki
language:
Short-container-title:Glas. Mat. Ser. III

Author:

Golomoziy Vitaliy,

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.

Publisher

University of Zagreb, Faculty of Science, Department of Mathematics

Subject

General Mathematics

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