Exponential Moments for Hitting Times of Uniformly Ergodic Markov Processes

Carmona, Rene; Klein, Abel

Ann. Probab., Tome 11 (1983) no. 4, p. 648-655 / Harvested from Project Euclid

Résumé

Let $\mu$ be an invariant measure for a Markov process which is assumed $\mu$-uniformly ergodic in the following sense: the corresponding semigroup of operators on $L^2(d\mu)$, say $\{P_t; t \geq 0\}$, is such that the time average $(1/T) \int^T_0 P_t dt$ converges to a rank one projection in the uniform norm of operators. We prove that hitting times of sets having non zero $\mu$-measure possess moment generating functions.

Publié le : 1983-08-14
Classification: Moment generating function, hitting times, uniformly ergodic Markov processes, 60J99

@article{1176993509,
     author = {Carmona, Rene and Klein, Abel},
     title = {Exponential Moments for Hitting Times of Uniformly Ergodic Markov Processes},
     journal = {Ann. Probab.},
     volume = {11},
     number = {4},
     year = {1983},
     pages = { 648-655},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993509}
}

Carmona, Rene; Klein, Abel. Exponential Moments for Hitting Times of Uniformly Ergodic Markov Processes. Ann. Probab., Tome 11 (1983) no. 4, pp.  648-655. http://gdmltest.u-ga.fr/item/1176993509/