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

DOI10.1007/978-3-319-42105-6_8MaRDI QIDQ2974705zbMATH OpenOpenAlexFDO

Authors Mikael Petersson

Publication date 10 April 2017

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

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

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)

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.

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Cited in

(14)

• Estimation of stationary probability of semi-Markov chains
• 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
• Asymptotics for quasi-stationary distributions of perturbed discrete time semi-Markov processes
• Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
• Quasi-stationary distributions for perturbed discrete time regenerative processes
• scientific article; zbMATH DE number 3992553 (Why is no real title available?)
• On the asymptotic moments and Edgeworth expansions for some processes in random dynamical environment
• Asymptotic expansion for functionals of a marked point process
• Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time
• Asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes. I.
• Asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes. II.

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