The asymptotic behavior of the distribution of Markov moments in time-inhomogeneous Markov chains and its application to a discrete Cramér–Lundberg model

DOI10.1090/TPMS/981zbMath1346.60114OpenAlexW2496380930MaRDI QIDQ2817046

N. V. Kartashov

Publication date: 29 August 2016

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/981

zbMATH Keywords

asymptoticsruin probabilityCramér-Lundberg modelinhomogeneous discrete Markov chainsrare Markov moments

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Limit theorems in probability theory (60F99) Renewal theory (60K05)

Cites Work

• Markov chains and stochastic stability
• The asymptotic behavior of rare Markov moments defined on time inhomogeneous Markov chains
• Quantitative and qualitative limits for exponential asymptotics of hitting times for birth-and-death chains in a scheme of series
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