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For a time-homogeneous Markov chain \\(X=\\{X_n, n\\geq 0\\}\\) taking values in \\({\\mathbb R}^+\\), the random variable \\(\\xi (x)\\) corresponding to the jump of the chain at point \\(x\\) satisfies \\(\\operatorname{P}\\{\\xi (x) \\in B\\} = \\operatorname{P}\\{X_{n+1}- X_n\\in B| X_n = x\\}\\) with mean drift \\(m(x)\\) and second moment \\(b(x) = \\operatorname{E}\\xi^2(x).\\) It is well-known that the Lindley recursion \\(X_{n+1} = (X_n + \\xi_{n+1})^+\\), where the \\(\\xi_n\\), \\(n\\geq 1\\), are i.i.d random variables, has invariant distribution if and only if \\(\\operatorname{E}\\xi_1 < 0.\\) In queueing theory, it is well-known that the invariant distribution has finite \\(\\gamma\\)-th moment if and only if \\(\\operatorname{E}(\\xi^+)^{\\gamma + 1}< \\infty\\), and the invariant distribution \\(\\pi\\) is light-tailed if and only if the distribution of \\(\\xi\\) is.  Theorem 1 shows that almost every stationary Markov chain with asymptotically zero drift (\\(m(x) \\to 0\\) if \\(x\\to \\infty\\)) generates a heavy-tailed invariant distribution (\\(\\operatorname{E}e^{\\lambda \\xi} < \\infty\\) for some \\(\\lambda > 0\\)). \\textit{J. Lamperti} [J. Math. Anal. Appl. 1, 314--330 (1960; Zbl 0099.12901)] first studied the existence of an invariant distribution in the critical case when \\(m(x) \\sim - c/x\\) at large \\(x\\). Theorem 1 is somehow sharp since there is no invariant distribution for the Markov chain with \\(m(x) = o(1/x)\\) as \\(x\\to \\infty\\).  The approach in this paper to prove that existence or nonexistence of the moment is based on the calculations of the mean drift of the appropriate test function of a Markov chain. Section 3 lists technical lemmas. \\textit{R. L. Tweedie} [J. Appl. Probab. 20, 191--196 (1983; Zbl 0513.60067), Theorem 1] first proved an existence result on moments for Harrison-recurrent stationary Markov chains. Under some technical assumptions, the author proves in Theorem 2 the existence of the moments for a class of Markov chains with jump random variables.  Theorem 3 in Section 5 gives the nonexistence result of moments for a class of Markov chains with jump random variables under conditions (19)--(22) in the paper. If \\(m(x) \\sim -\\mu x^{-1}\\log x\\), \\(m(x) \\sim -\\mu/x^{\\alpha}\\), \\(\\alpha \\in (0, 1)\\), then \\(xm(x)\\to - \\infty\\), and the moments of the invariant distribution are all finite if the moments of \\(\\xi^+(x)\\) are finite for \\(x\\geq 0\\). Theorem 3 implies the nonexistence of Weibull-type moments (see Corollary 5). For countable Markov chains with asymptotically zero drift and bounded jumps, some results are listed in the last two sections.","type":"string"},"datatype":"string"},"type":"statement","id":"Q642081$38ACC6DE-DB3A-4C62-AFEB-396DCDFEAFC7","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"314e54fbb18d33f780194e79b8f7d977d400cb90","datavalue":{"value":"60J05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q642081$67DCFC77-6CE1-4D6A-9B5E-22AF96E61E06","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"3696b4351b31a8668e87442a7ba77d20cb1d06fa","datavalue":{"value":"5963633","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q642081$DEAFC5FA-C6F9-4AA9-88E4-AB2BBC036330","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"a17ee9b24623d891e2836182e1860238aedf5585","datavalue":{"value":"stationary Markov 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