Establishing geometric drift via the Laplace transform of symmetric measures

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.

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Year of publication:	2002
Authors:	Hansen, Niels Richard ; Hansen, Ernst
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 60.2002, 3, p. 289-295
Publisher:	Elsevier
Keywords:	Markov chains Affine Markov chains Drift functions Geometric drift Geometric ergodicity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319119