Establishing geometric drift via the Laplace transform of symmetric measures

Niels Richard Hansen and Ernst Hansen

Statistics & Probability Letters, 2002, vol. 60, issue 3, 289-295

Abstract: A new kind of drift function based on the Laplace transform of rotation symmetric measures on is introduced and applied to the class of the so-called affine Markov chains. An example is given where this approach provides a better criterion for geometric drift than standard drift functions.

Keywords: Markov; chains; Affine; Markov; chains; Drift; functions; Geometric; drift; Geometric; ergodicity (search for similar items in EconPapers)
Date: 2002
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