Tail of a linear diffusion with Markov switching (Q5970344)
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scientific article; zbMATH DE number 2162816
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail of a linear diffusion with Markov switching |
scientific article; zbMATH DE number 2162816 |
Statements
Tail of a linear diffusion with Markov switching (English)
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29 April 2005
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Ornstein-Uhlenbeck diffusion
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random difference equation
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light tail
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heavy tail
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renewal theory
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Perron-Frobenius theory
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ladder heights
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