Uniform Markov renewal theory and ruin probabilities in Markov random walks.
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Publication:1879907
DOI10.1214/105051604000000260zbMath1052.60072arXivmath/0407140OpenAlexW3098612775MaRDI QIDQ1879907
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/0407140
random coefficient modelsBrownian approximationproducts of random matricesfirst passage probabilitiesladder height distributionMarkov-dependent Wald martingale
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov renewal processes, semi-Markov processes (60K15) Renewal theory (60K05)
Related Items (10)
Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues ⋮ Stability of overshoots of Markov additive processes ⋮ Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes ⋮ Efficient likelihood estimation in state space models ⋮ Credit Risk Propagation in Structural-Form Models ⋮ The key renewal theorem for a transient Markov chain ⋮ Asymptotic operating characteristics of an optimal change point detection in hidden Markov models ⋮ Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift ⋮ Uniform renewal theory with applications to expansions of random geometric sums ⋮ Asymptotic behavior for Markovian iterated function systems
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