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In this paper we study the ergodicity of a Markov bilinear stochastic process and prove that not all moments exist for a non‐trivial bilinear stochastic process. We have derived expressions for the moments when they exist and diagrams are given which show the regions for which moments of various low orders exist. A modified bilinear process is briefly discussed.
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H. Tong (1981) studied this question.
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