Ladder epochs and ladder chain of a Markov random walk with discrete driving chain

DOI10.1017/apr.2018.68zbMath1431.60072arXiv1511.05361OpenAlexW2962941426MaRDI QIDQ5215051

Gerold Alsmeyer

Publication date: 5 February 2020

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.05361

zbMATH Keywords

stationary distributionWiener-Hopf factorizationcouplingMarkov random walkdiscrete Markov chainladder variableexcursion chainladder chainMarkov-modulated sequencepalm-duality

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov renewal processes, semi-Markov processes (60K15)

Cites Work

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• Renewal theorem for a class of stationary sequences
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• Wald's equations, first passage times and moments of ladder variables in Markov random walks
• Topics in Markov Additive Processes.
• Applied Probability and Queues
• Quasistochastic matrices and Markov renewal theory
• Markov renewal theory
• A renewal theorem for distributions on 𝑅¹ without expectation
• Symmetric Wiener-Hopf factorisations in Markov additive processes

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