The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails

DOI10.1016/j.spa.2004.11.001zbMath1070.60057OpenAlexW2158358804MaRDI QIDQ2485842

Niels Richard Hansen, Anders Tolver Jensen

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.11.001

zbMATH Keywords

Markov chainsExtremesRegenerationHeavy tailsSubexponential distributionsMarkov modulated queuesRegular variation

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Queueing theory (aspects of probability theory) (60K25)

Related Items

Discrete and continuous time modulated random walks with heavy-tailed increments ⋮ Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations ⋮ Extreme values statistics for Markov chains via the (pseudo-) regenerative method ⋮ Local asymptotics of a Markov modulated random walk with heavy-tailed increments

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