Local asymptotics of a Markov modulated random walk with heavy-tailed increments

DOI10.1007/S10114-011-8191-2zbMath1232.60041OpenAlexW1968182794MaRDI QIDQ644628

Juan-Miguel Gracia

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

zbMATH Keywords

subexponential distributionsWiener-Hopf factorizationlong-tailed distributionslocal asymptoticsMarkov modulated random walk

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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