Exponential moments for hitting times of uniformly ergodic Markov processes

DOI10.1214/aop/1176993509zbMath0523.60064OpenAlexW2052362902MaRDI QIDQ1056464

Abel Klein, René A. Carmona

Publication date: 1983

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993509

zbMATH Keywords

moment generating functionhitting timeinfinite dimensional Ornstein-Uhlenbeck processuniformly ergodic Markov process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60)

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Poincaré inequalities and hitting times ⋮ Absence of mass gap for a class of stochastic contour models. ⋮ Spectral condition, hitting times and Nash inequality ⋮ Passage-Time Moments for Positively Recurrent Markov Chains ⋮ Lyapunov exponents for surface group representations ⋮ Hitting times, functional inequalities, Lyapunov conditions and uniform ergodicity ⋮ The L 2spectral gap of certain positive recurrent Markov chains and jump processes ⋮ Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times ⋮ Asymptotic and spectral properties of exponentially \(\phi\)-ergodic Markov processes ⋮ Spectral gaps and exponential integrability of hitting times for linear diffusions ⋮ Skew Ornstein-Uhlenbeck processes and their financial applications ⋮ Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes

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