Sharp bounds for exponential approximations of NWUE distributions

DOI10.1007/S11009-017-9596-XzbMath1402.60024OpenAlexW2767010837WikidataQ115603570 ScholiaQ115603570MaRDI QIDQ1617324

R. Smith

Publication date: 8 November 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-017-9596-x

zbMATH Keywords

equilibrium distributionsgeometric convolutionsfirst passage times in time reversible Markov chainsNWUE distributionsone and two-sided Kolmogorov distancessharp error bounds for exponential approximations

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Queueing theory (aspects of probability theory) (60K25) Reliability, availability, maintenance, inspection in operations research (90B25) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (1)

Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model

Cites Work

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• New rates for exponential approximation and the theorems of Rényi and Yaglom
• Sharp bounds for exponential approximations under a hazard rate upper bound

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