Asymptotic expansions for moment functionals of perturbed discrete time semi-Markov processes

DOI10.1007/978-3-319-42105-6_8zbMATH Open1361.60080arXiv1603.05891OpenAlexW2298073771MaRDI QIDQ2974705FDOQ2974705

Authors: Mikael Petersson 

Publication date: 10 April 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: In this paper, we study mixed power-exponential moment functionals of nonlinearly perturbed semi-Markov processes in discrete time. Conditions under which the moment functionals of interest can be expanded in asymptotic power series with respect to the perturbation parameter are given. We show how the coefficients in these expansions can be computed from explicit recursive formulas. In particular, the results of the present paper have applications for studies of quasi-stationary distributions.

Full work available at URL: https://arxiv.org/abs/1603.05891

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zbMATH Keywords

asymptotic expansionfirst hitting timeperturbationrenewal equationsemi-Markov processsolidarity property

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov renewal processes, semi-Markov processes (60K15) Renewal theory (60K05)

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Cited In (10)

• Resz means of bounded states: semi-classical asymptotic
• The asymptotic behavior of the distribution of Markov moments in time-inhomogeneous Markov chains and its application to a discrete Cramér-Lundberg model
• Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
• Asymptotic expansions for power-exponential moments of hitting times for nonlinearly perturbed semi-Markov processes
• Title not available (Why is that?)
• Asymptotic expansion for functionals of a marked point process
• On the asymptotic moments and Edgeworth expansions for some processes in random dynamical environment
• Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time
• Asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes. I.
• Estimation of stationary probability of semi-Markov chains

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