On the moment-generating functions of extrema and their complements for almost semicontinuous integer-valued Poisson processes on Markov chains

DOI10.1007/s11253-016-1144-2zbMath1377.60073OpenAlexW2313760425MaRDI QIDQ1688157

M. S. Herych, D. V. Husak

Publication date: 5 January 2018

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-016-1144-2

zbMATH Keywords

Markov chainPoisson processmoment-generating functionsperturbed matrix cumulant function

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

Distributions of overshoots for almost continuous stochastic processes defined on a Markov chain ⋮ On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain

Cites Work

• Ruin probabilities in the compound binomial model
• Discounted probabilities and ruin theory in the compound binomial model
• Two-limit problems for almost semicontinuous processes defined on a Markov chain
• On a fundamental identity in the theory of semi-Markov processes
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