Integro-local theorems in boundary crossing problems for compound renewal processes

DOI10.1134/S0037446619060041zbMath1450.60049OpenAlexW3008988810MaRDI QIDQ2186301

Aleksandr A. Borovkov

Publication date: 9 June 2020

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

Full work available at URL: https://doi.org/10.1134/s0037446619060041

zbMATH Keywords

large deviationintegro-local theoremsconditional distribution of jumpsfirst passage time of remote boundaryruin probability problemtime dependent boundary

Mathematics Subject Classification ID

Large deviations (60F10) Markov renewal processes, semi-Markov processes (60K15) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Related Items

Boundary crossing problems for compound renewal processes

Cites Work

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• Large deviation principles in boundary problems for compound renewal processes
• Integro-local limit theorems for compound renewal processes under Cramér's condition. I
• Large deviation principles for the finite-dimensional distributions of compound renewal processes
• Approximations for the probability of ruin within finite time
• Ruin probabilities expressed in terms of ladder height distributions
• On the Density and Moments of the Time of Ruin with Exponential Claims