Abstract
Let $\mu$ be an invariant measure for a Markov process which is assumed $\mu$-uniformly ergodic in the following sense: the corresponding semigroup of operators on $L^2(d\mu)$, say $\{P_t; t \geq 0\}$, is such that the time average $(1/T) \int^T_0 P_t dt$ converges to a rank one projection in the uniform norm of operators. We prove that hitting times of sets having non zero $\mu$-measure possess moment generating functions.
Citation
Rene Carmona. Abel Klein. "Exponential Moments for Hitting Times of Uniformly Ergodic Markov Processes." Ann. Probab. 11 (3) 648 - 655, August, 1983. https://doi.org/10.1214/aop/1176993509
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