Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk

DOI10.2307/1428082zbMath0892.60036OpenAlexW2079525147MaRDI QIDQ4361801

Cheng-Der Fuh

Publication date: 9 August 1998

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1428082

zbMATH Keywords

diffusion approximationgambler's ruinMarkov random walkladder height distributionMarkov-dependent Wald martingale

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Markov renewal processes, semi-Markov processes (60K15)

Related Items (3)

Uniform Markov renewal theory and ruin probabilities in Markov random walks. ⋮ SPRT and CUSUM in hidden Markov models ⋮ Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift

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