Glasnik Matematicki, Vol. 57, No. 1 (2022), 129-147. \( \)

EXPONENTIAL MOMENTS OF SIMULTANEOUS HITTING TIME FOR NON-ATOMIC MARKOV CHAINS

Vitaliy Golomoziy

Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64 Volodymyrska st, Kyiv, 01033, Ukraine
e-mail:vitaliy.golomoziy@univ.kiev.ua

Abstract.   This paper is devoted to studying the first simultaneous hitting time of a given set by two discrete-time, inhomogeneous Markov chains with values in general phase space. Established conditions for the existence of the hitting time's exponential moment. Computable bounds for the exponential moment are obtained under the condition of stochastic dominance.

2020 Mathematics Subject Classification.   60J05, 60J05

Key words and phrases.   Markov chains, coupling method, inhomogeneous renewal theory

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https://doi.org/10.3336/gm.57.1.09

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