Moments for stationary Markov chains with asymptotically zero drift

We consider a Markov chain on ℝ + with asymptotically zero drift and finite second moments of jumps. We assume that the chain has invariant distribution. The paper is devoted to the existence and nonexistence of moments of invariant distribution. Our analysis is based on the technique of test functi...

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Bibliographic Details
Published in:Siberian mathematical journal 2011-07, Vol.52 (4), p.655-664
Main Author: Korshunov, D. A.
Format: Article
Language:English
Subjects:
Mathematics
Mathematics and Statistics
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Summary:We consider a Markov chain on ℝ + with asymptotically zero drift and finite second moments of jumps. We assume that the chain has invariant distribution. The paper is devoted to the existence and nonexistence of moments of invariant distribution. Our analysis is based on the technique of test functions.
ISSN:0037-4466
1573-9260
DOI:10.1134/S0037446611040100