Passage-time moments for positively recurrent Markov chains (Q2731036)
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scientific article; zbMATH DE number 1625376
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Passage-time moments for positively recurrent Markov chains |
scientific article; zbMATH DE number 1625376 |
Statements
29 July 2001
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fractional moments
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convergence rate of the transition probability
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passage time
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Passage-time moments for positively recurrent Markov chains (English)
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The authors are concerned with the fractional moments of the passage-time for continuous Markov chains. A criterion of the finiteness of the fractional moments is obtained in terms of the convergence rate of the transition probability to the stationary distribution. Finally, as an application, it is proved that the passage time of a direct product process of Markov chains has the same order of the fractional moments as that of the single Markov chain.
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