In this paper we get some sufficient conditions for the finiteness
or nonfiniteness of the passage-time moments for nonnegative discrete parameter
processes. The developed criteria are closely connected with the well-known
results of Foster for the ergodicity of Markov chains and are given in terms of
sub(super)martingales. Then, as an application of the obtained results, we get
explicit conditions for the finiteness or nonfiniteness of passage-time moments
for reflected random walks in a quadrant with zero drift in the interior.
Publié le : 1996-04-14
Classification:
Passage-time,
recurrence classification,
reflected random walks,
60G42,
60J10,
60J60
@article{1039639371,
author = {Aspandiiarov, S. and Iasnogorodski, R. and Menshikov, M.},
title = {Passage-time moments for nonnegative stochastic processes and an
application to reflected random walks in a quadrant},
journal = {Ann. Probab.},
volume = {24},
number = {2},
year = {1996},
pages = { 932-960},
language = {en},
url = {http://dml.mathdoc.fr/item/1039639371}
}
Aspandiiarov, S.; Iasnogorodski, R.; Menshikov, M. Passage-time moments for nonnegative stochastic processes and an
application to reflected random walks in a quadrant. Ann. Probab., Tome 24 (1996) no. 2, pp. 932-960. http://gdmltest.u-ga.fr/item/1039639371/