Upper Bounds for Exponential Moments of Hitting Times for Semi-Markov Processes
Dmitrii S. Silvestrov · Communication in Statistics- Theory and Methods · 2004
Necessary and sufficient conditions for the existence of exponential moments for hitting times for semi-Markov processes are found. These conditions and the corresponding upper bounds for exponential moments are given in terms of test-functions. Applications to hitting times for semi-Markov random walks and queuing systems illustrate the results.