Add to ORKGWe give necessary and sufficient conditions in order that exponentials of additive functionals of Markov processes have finite expectations. Furthermore, we obtain sharp estimates for these expectations. More precisely, we investigate both the Stieltjes exponential and the ordinary exponential of right-continuous additive functionals of general right-continuous, time-inhomogenous Markov processes. The well-known Khas'minskii Lemma (1959, Probab. Appl. 4, 309-318) follows as a corollary.Markov processes Additive functionals Khas' minskii Lemma
International audienceAbstract The recent study by De Bruyne et al (2021 J. Stat. Mech. 123204), con...
We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state s...
Consider a Markov chain $\{X_n\}_{n\ge 0}$ with an ergodic probability measure $\pi$. Let $\Psi$ a f...
AbstractWe give necessary and sufficient conditions in order that exponentials of additive functiona...
Using the renewal approach we prove exponential inequalities for additive functionals and empirical ...
This note develops shortly the theory of time-inhomogeneous additive functionals and is a useful sup...
A Markov Additive Process is a bi-variate Markov process $(\xi,J)=\big((\xi_t,J_t),t\geq0\big)$ whic...
In this note, we prove the Strassen\u27s strong invariance principle for vector-valued additive func...
Abstract. We study continuous additive functionals of zero quadratic variation of strong Markov cont...
Let (Pt) be a right borel semigroup and let (St) the right inverse of a continuous additive function...
International audienceIn this paper, an additive functional $\{Y_t, t ≥ 0\}$ (with continuous and di...
Let us consider a continuous time Markov additive process with cadlag paths and a sequence of ran...
This article is motivated by the quantitative study of the exponential growth of Markov-driven bifur...
International audienceAbstract The recent study by De Bruyne et al (2021 J. Stat. Mech. 123204), con...
We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state s...
Consider a Markov chain $\{X_n\}_{n\ge 0}$ with an ergodic probability measure $\pi$. Let $\Psi$ a f...
AbstractWe give necessary and sufficient conditions in order that exponentials of additive functiona...
Using the renewal approach we prove exponential inequalities for additive functionals and empirical ...
This note develops shortly the theory of time-inhomogeneous additive functionals and is a useful sup...
A Markov Additive Process is a bi-variate Markov process $(\xi,J)=\big((\xi_t,J_t),t\geq0\big)$ whic...
In this note, we prove the Strassen\u27s strong invariance principle for vector-valued additive func...
Abstract. We study continuous additive functionals of zero quadratic variation of strong Markov cont...
Let (Pt) be a right borel semigroup and let (St) the right inverse of a continuous additive function...
International audienceIn this paper, an additive functional $\{Y_t, t ≥ 0\}$ (with continuous and di...
Let us consider a continuous time Markov additive process with cadlag paths and a sequence of ran...
This article is motivated by the quantitative study of the exponential growth of Markov-driven bifur...
International audienceAbstract The recent study by De Bruyne et al (2021 J. Stat. Mech. 123204), con...
We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state s...
Consider a Markov chain $\{X_n\}_{n\ge 0}$ with an ergodic probability measure $\pi$. Let $\Psi$ a f...