On the integrability of the coupling moment for time-inhomogeneous Markov chains
Authors:
V. V. Golomoziy and N. V. Kartashov
Journal:
Theor. Probability and Math. Statist. 89 (2014), 1-12
MSC (2010):
Primary 60J45; Secondary 60A05, 60K05
DOI:
https://doi.org/10.1090/S0094-9000-2015-00930-3
Published electronically:
January 26, 2015
MathSciNet review:
3235170
Full-text PDF Free Access
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Additional Information
Abstract: In this paper, we find the conditions under which the expectation of the first coupling moment for two independent, discrete, time-inhomogeneous Markov chains is finite. We consider discrete chains with the phase space $\{0,1,\dots \}$. As the coupling moment, we understand the first moment when both chains visit the zero state at the same time.
References
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References
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Additional Information
V. V. Golomoziy
Affiliation:
Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrska Street, 64/13, 01601 Kyiv, Ukraine
Email:
mailtower@gmail.com
N. V. Kartashov
Affiliation:
Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrska Street, 64/13, 01601 Kyiv, Ukraine
Email:
mykartashov@gmail.com
Keywords:
Coupling theory,
coupling method,
maximal coupling,
discrete Markov chains,
stability of distributions
Received by editor(s):
November 1, 2011
Published electronically:
January 26, 2015
Article copyright:
© Copyright 2015
American Mathematical Society
