EconPapers    
Economics at your fingertips  
 

Asymptotic expansions for the moments of a semi-Markovian random walk with exponential distributed interference of chance

T. Khaniyev, T. Kesemen, R. Aliyev and A. Kokangul

Statistics & Probability Letters, 2008, vol. 78, issue 6, 785-793

Abstract: In this paper, a semi-Markovian random walk process (X(t)) with a discrete interference of chance is constructed and the ergodicity of this process is discussed. Some exact formulas for the first- and second-order moments of the ergodic distribution of the process X(t) are obtained, when the random variable [zeta]1 has an exponential distribution with the parameter [lambda]>0. Here [zeta]1 expresses the quantity of a discrete interference of chance. Based on these results, the third-order asymptotic expansions for mathematical expectation and variance of the ergodic distribution of the process X(t) are derived, when [lambda]-->0.

Keywords: Random; walk; First; jump; Ergodic; distribution; Asymptotic; expansion; Ladder; variable; Discrete; interference; of; chance (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(07)00333-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:78:y:2008:i:6:p:785-793

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:stapro:v:78:y:2008:i:6:p:785-793