Asymptotic properties of extremal Markov processes driven by Kendall convolution

DOI10.1007/s10959-023-01285-2arXiv1901.05698OpenAlexW2979565265MaRDI QIDQ6071172

Edward Omey, Barbara H. Jasiulis-Gołdyn, Marek Arendarczyk

Publication date: 21 November 2023

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.05698

zbMATH Keywords

regular variationMarkov processrandom walklimit theoremsPareto distributionextremesKendall convolutionWilliamson transform

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Convolution as an integral transform (44A35) Characteristic functions; other transforms (60E10) Discrete-time Markov processes on general state spaces (60J05) Transition functions, generators and resolvents (60J35)

Related Items (2)

Cramér-Lundberg model for some classes of extremal Markov sequences ⋮ How exceptional is the extremal Kendall and Kendall-type convolution

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