Upper bounds for exponential moments of hitting times for semi-Markov processes

被引：2

作者：

Silvestrov, D ^{[1
]}

机构：

[1] Malardalen univ, Dept Math & Phys, SE-72123 Vasteras, Sweden

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2004年 / 33卷 / 03期

关键词：

semi-Markov processes; hitting times; upper bounds for exponential moments; test-functions;

D O I：

10.1081/STA-120028683

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Necessary and sufficient conditions for the existence of exponential moments for hitting times for semi-Markov processes are found. These conditions and the corresponding upper bounds for exponential moments are given in terms of test-functions. Applications to hitting times for semi-Markov random walks and queuing systems illustrate the results.

引用

页码：533 / 543

页数：11

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