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Tail events of some nonhomogeneous Markov chains

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Publication:1894631
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DOI10.1214/AOAP/1177004840zbMath0826.60055OpenAlexW2076033719MaRDI QIDQ1894631

Wojciech Niemiro, Piotr Pokarowski

Publication date: 10 August 1995

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

Full work available at URL: https://doi.org/10.1214/aoap/1177004840


zbMATH Keywords

simulated annealingnonhomogeneous Markov chainorder of recurrencerecurrent class


Mathematics Subject Classification ID

Stochastic programming (90C15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)


Related Items (2)

Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem ⋮ Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin







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