Asymptotic Expansions for Moment Functionals of Perturbed Discrete Time Semi-Markov Processes

2016/03/18 by Mikael Petersson, Petersson, Mikael
Economics, Econometrics and Finance · Physics and Astronomy · #60K05 #Advanced Thermodynamics and Statistical Mechanics #FOS: Mathematics #Primary 60K15 #Probability (math.PR) #Scientific Research and Discoveries #Secondary 41A60 #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1603.05891

openalex publication_date 2016/03/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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