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
收藏
页码：533 / 543
页数：11
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