Hitting probabilities in a Markov additive process with linear movements and upward jumps: applications to risk and queueing processes.

DOI10.1214/105051604000000206zbMath1057.60073arXivmath/0406183OpenAlexW2056733572MaRDI QIDQ1879901

Masakiyo Miyazawa

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0406183

zbMATH Keywords

risk processdecay rateMarkov additive processhitting probabilityMarkov renewal theorem

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Continuous-time Markov processes on discrete state spaces (60J27) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items (4)

On an approach to boundary crossing by stochastic processes ⋮ On the ruin problem in a Markov-modulated risk model ⋮ Extremes of Markov-additive processes with one-sided jumps, with queueing applications ⋮ Asymptotic behavior of the loss rate for Markov-modulated fluid queue with a finite buffer

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