Local asymptotics of a Markov modulated random walk with heavy-tailed increments
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Publication:644628
DOI10.1007/S10114-011-8191-2zbMath1232.60041OpenAlexW1968182794MaRDI QIDQ644628
Publication date: 4 November 2011
Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-011-8191-2
subexponential distributionsWiener-Hopf factorizationlong-tailed distributionslocal asymptoticsMarkov modulated random walk
Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
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