Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
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Publication:835065
DOI10.1214/08-AAP584zbMath1176.60018arXiv0908.4479MaRDI QIDQ835065
Publication date: 27 August 2009
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.4479
large deviationperpetuitiesfinancial time seriesregenerationruin probabilitiesHarris recurrent Markov chains
Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Large deviations (60F10) Functional limit theorems; invariance principles (60F17)
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