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Upper bounds for exponential moments of hitting times for semi-Markov processes
Mälardalen University, Department of Mathematics and Physics.ORCID iD: 0000-0002-2626-5598
2004 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 33, no 3, 533-544 p.Article in journal (Refereed) Published
Abstract [en]

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 forsemi-Markov random walks and queuing systems illustrate the results.

Place, publisher, year, edition, pages
2004. Vol. 33, no 3, 533-544 p.
National Category
Probability Theory and Statistics Computational Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-3006DOI: 10.1081/STA-120028683ISI: 000220104900009Scopus ID: 2-s2.0-1642320708OAI: oai:DiVA.org:mdh-3006DiVA: diva2:115670
Available from: 2007-03-27 Created: 2007-03-27 Last updated: 2016-05-11Bibliographically approved

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Silvestrov, Dmitrii S.
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