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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1. Verfasser: | |
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 |
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