Asymptotic Expansions on Moments of the First Ladder Height in Markov Random Walks with Small Drift
Let $\{(X_{n},\ S_{n}),\ n\geq 0\}$ be a Markov random walk in which $X_{n}$ takes values in a general state space and $S_{n}$ takes values on the real line ℝ. In this paper we present some results that are useful in the study of asymptotic approximations of boundary crossing problems for Markov ran...
| Veröffentlicht in: | Advances in Applied Probability. - Applied Probability Trust. - 39(2007), 3, Seite 826-852 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Zugriff auf das übergeordnete Werk: | Advances in Applied Probability |
| Schlagworte: | Boundary crossing probability ladder height distribution Markov-dependent Wald martingale overshoot Poisson equation uniform Markov renewal theory Mathematics Applied sciences |
| Online verfügbar |
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