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arXiv · 2001.02442

On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence

Vitaliy Golomoziy
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Abstract

The main subject of the study in this paper is the simultaneous renewal time for two time-inhomogeneous Markov chains which start with arbitrary initial distributions. By a simultaneous renewal we mean the first time of joint hitting the specific set $C$ by both processes. Under the condition of existence a dominating sequence for both renewal sequences generated by the chains and non-lattice condition for renewal probabilities an upper bound for the expectation of the simultaneous renewal time is obtained.

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Vitaliy Golomoziy. 2020-01-08. On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence. https://doi.org/10.15559/19-vmsta138

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