Passage-time moments for nonnegative stochastic processes and an application to reflected random walks in a quadrant (Q2563942)

In the first section sufficient conditions for the finiteness of the moments of the first passage times of nonnegative, discrete time parameter stochastic processes are established, which extend those of \textit{J. Lamperti} [J. Math. Anal. Appl. 7, 127-145 (1963; Zbl 0202.46701)]. The conditions are closely related to results for the ergodicity of Markov chains and are given in terms of submartingales or supermartingales. These results are then applied to get explicit conditions for the finiteness or nonfiniteness of passage time moments for reflected random walks in a quadrant with zero drift in the interior.