An asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk

DOI10.21099/TKBJM/1311081452zbMath1231.60067OpenAlexW1506258794MaRDI QIDQ638751

Mikhail S. Sgibnev

Publication date: 14 September 2011

Published in: Tsukuba Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.tkbjm/1311081452

zbMATH Keywords

asymptotic expansionBanach algebracharacteristic equationsupremumsubmultiplicative functionfinite Markov chainMarkov-modulated random walk

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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