Poisson equation, moment inequalities and quick convergence for Markov random walks.

DOI10.1016/S0304-4149(99)00104-0zbMath1045.60074MaRDI QIDQ1877389

Cun-Hui Zhang, Cheng-Der Fuh

Publication date: 7 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

tail probabilityrenewal theoryinequalitymomentPoisson equationMarkov random walkquick convergenceWald equation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (9)

Time and Ratio Expected Average Cost Optimality for Semi-Markov Control Processes on Borel Spaces ⋮ Uniform Markov renewal theory and ruin probabilities in Markov random walks. ⋮ A Self-Normalized Central Limit Theorem for Markov Random Walks ⋮ On–off intermittency and chaotic walks ⋮ SPRT and CUSUM in hidden Markov models ⋮ Asymptotic operating characteristics of an optimal change point detection in hidden Markov models ⋮ Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift ⋮ Asymptotic behavior for Markovian iterated function systems ⋮ Asymptotically efficient strategies for a stochastic scheduling problem with order constraints.

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