{"entities":{"Q638751":{"pageid":640599,"ns":120,"title":"Item:Q638751","lastrevid":63206121,"modified":"2026-04-11T11:18:45Z","type":"item","id":"Q638751","labels":{"en":{"language":"en","value":"An asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5947456"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q638751$09CDF096-81EF-47F8-819F-F1E8E3CE2224","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"8ffed42f1dc4242c212d2c3137f5086e1531be6a","datavalue":{"value":{"text":"An asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q638751$5197A2D8-BE13-4AE5-A5B1-D58606C02371","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"a2c9e2c09fbb2a09203af3c0b12b0f0af2fffbb2","datavalue":{"value":"1231.60067","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q638751$6C073608-CE95-415C-8099-68F6145A7B8F","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"4644ee9c6c93e22a4aa2641411a372d7ea43bad8","datavalue":{"value":{"entity-type":"item","numeric-id":180651,"id":"Q180651"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q638751$5D4FB710-40B2-4E5D-953D-ACE3A975D63C","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"4d274517352e435f4ba0c24b36bd6c7fe1fabe54","datavalue":{"value":{"time":"+2011-09-14T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q638751$828284BA-FD5E-4BB7-987A-EC1735E9E388","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"e72bb716c2637d1d8dee82b00e064b104cbf585d","datavalue":{"value":"https://projecteuclid.org/euclid.tkbjm/1311081452","type":"string"},"datatype":"url"},"type":"statement","id":"Q638751$14EE0B91-EE1A-49B7-B4D1-436D9A296C57","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"c95884053514b462046d14419a0ff428c68c2784","datavalue":{"value":"The author obtains an asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk. Let \\(\\{\\kappa_n\\}_{n=0}^{\\infty}\\) be an irreducible aperiodic Markov chain on a finite state space \\(\\mathcal N\\). For every \\((i,j)\\in \\mathcal N^2\\), let \\(\\{X_m(i,j)\\}_{m=1}^{\\infty}\\) be independent random variables with distribution function \\(F_{ij}\\). Assume that the families of random variables \\(\\{\\kappa_n\\}_{n=0}^{\\infty}\\) and \\(\\{X_m(i,j)\\}_{m=1}^{\\infty}\\), \\((i,j)\\in \\mathcal N^2\\), are mutually independent. Define a Markov-modulated random walk by \\(S_0=0\\) and \\(S_n=S_{n-1}+X_n(\\kappa_{n-1},\\kappa_n)\\) for \\(n\\geq 1\\). For \\(x>0\\), let \\(\\eta(x)=\\min\\{n\\geq 1: S_n>x\\}\\) be the first time at which the random walk crosses the level \\(x\\). Define a matrix \\(W=(W_{ij})\\), where  \\[  W_{ij}=\\text{P} [\\kappa_{\\eta(x)}=j|\\kappa_0=i], \\qquad (i,j)\\in\\mathcal N^2.  \\]  The author proves an asymptotic expansion for the matrix \\(W\\) in terms of the roots of the characteristic equation and provides an estimate for the remainder term in the expansion.","type":"string"},"datatype":"string"},"type":"statement","id":"Q638751$4AD034AE-89A5-4313-A3FD-FE62750D7CD9","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"09a1e3b4995c9ab6f017df13f55bc738de35b489","datavalue":{"value":{"entity-type":"item","numeric-id":247510,"id":"Q247510"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q638751$5024F615-E63B-40F9-8919-57DBA28AE5DE","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"1cdf15533e26fc0c4c2e22d28e655c364dfe77a6","datavalue":{"value":"60J10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q638751$88CC38B4-1278-4BC7-A4EB-03ACD8B95402","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"e52a86b600bbb05d9a7823bf91d423713b4b70ab","datavalue":{"value":"60G50","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q638751$5A6C85BB-FE06-463B-AF69-AD2BEB6A2D15","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"fe515d7498949de98baa786cc4113a31cd387a74","datavalue":{"value":"60G70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q638751$9AC67D7E-210B-449C-BAEE-8E07CE8CA394","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"8e2c04f7069a4218a20b89b82d8110b33ae6bb9c","datavalue":{"value":"5947456","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q638751$E7ADAD0F-82D5-4493-B551-8E4D40AC8E4F","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"2380d892ff7efccb5c89056d5912c43a250c8a07","datavalue":{"value":"Markov-modulated random walk","type":"string"},"datatype":"string"},"type":"statement","id":"Q638751$7213926D-94EB-4643-B607-665F0D24D927","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"f85292ecd0128462167a8d255f9dbb6b6c446639","datavalue":{"value":"supremum","type":"string"},"datatype":"string"},"type":"statement","id":"Q638751$9C4F3FE2-4DFC-43CA-99FB-7F5AA788D91D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"2c7e0852ec4dcb5114e2f333a41540f5c33b2eb1","datavalue":{"value":"finite Markov chain","type":"string"},"datatype":"string"},"type":"statement","id":"Q638751$EBA2BB9F-CDF3-47F3-B7AC-1F1584A1963F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"66f27936fb38060f1cdf342f54d04d367ca52917","datavalue":{"value":"characteristic equation","type":"string"},"datatype":"string"},"type":"statement","id":"Q638751$CF93E3C9-56BB-40C3-8E0D-D2D58E85F123","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"80bd1e5223685ecbf936b4ad3d29ba674dc68636","datavalue":{"value":"asymptotic expansion","type":"string"},"datatype":"string"},"type":"statement","id":"Q638751$F7F82C85-1744-429C-B93F-C6A5BD084FF8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"adbf245048abc147e5bb8086765a7a3f0913f3e7","datavalue":{"value":"submultiplicative function","type":"string"},"datatype":"string"},"type":"statement","id":"Q638751$348831E8-672A-4425-88C2-F5B39CED98E8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"6de4687cb489a126e95a6918afbc785481c5c900","datavalue":{"value":"Banach algebra","type":"string"},"datatype":"string"},"type":"statement","id":"Q638751$28E9836A-B2A8-462C-9288-77443A8409F9","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"145630f6ed335f0106a228d8331085a3c83833f7","datavalue":{"value":{"entity-type":"item","numeric-id":1741472,"id":"Q1741472"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q638751$04D51392-7C62-4F89-8860-67478B4992F2","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q638751$085F6BDF-1704-4348-8C6D-699DAD8D4042","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"09336c78da60d13207f870b707a38aeb89921d48","datavalue":{"value":"W1506258794","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q638751$F236EBF3-9B60-4D37-83F9-588FDF930F5E","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"ae5a556612d50a3d9ab83536159c822f23252caf","datavalue":{"value":"10.21099/TKBJM/1311081452","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q638751$B208C0A9-B7E7-4FF0-9786-A41D81C9FB2C","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e707057aefa3527df4839a9f0a154c1be187641f","datavalue":{"value":{"entity-type":"item","numeric-id":4494503,"id":"Q4494503"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a02a743db99e52f9773c6a92743fcbe7e6472efc","datavalue":{"value":{"amount":"+0.8589752316474915","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q638751$CE2AFB98-A65A-46C1-B609-CCCAC16E963F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"72bc5204b3966a2dd3d666bcec31045e1428adbc","datavalue":{"value":{"entity-type":"item","numeric-id":2759814,"id":"Q2759814"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"eaa9d579b9bf8a6a1ba790881096d734ede06aee","datavalue":{"value":{"amount":"+0.8588933348655701","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q638751$4F8DB75A-8FFD-44D6-A541-F9B7B803CED8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"8a0228376f5b4c96ac663c226db2b7a4b478c4af","datavalue":{"value":{"entity-type":"item","numeric-id":5442227,"id":"Q5442227"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"61ecbec3d99a06903b1a7315cf126fbee3e7629f","datavalue":{"value":{"amount":"+0.8205155730247498","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q638751$646FF046-DAA7-45B8-BF33-3B41AC7E8ACE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"6c63e2da069415fae11b2201217089de2c3d02c0","datavalue":{"value":{"entity-type":"item","numeric-id":5437091,"id":"Q5437091"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"abace39084af43ba54e83050e9536e9e439783d3","datavalue":{"value":{"amount":"+0.8032797574996948","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q638751$A8619FD4-F553-4E93-A20D-B1435F716523","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"25573d1eb993f25e6d30f81d72abb8e59a01875f","datavalue":{"value":{"entity-type":"item","numeric-id":644628,"id":"Q644628"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"9b155652ee189efccc09e0dd248b0fbe13a1dbf2","datavalue":{"value":{"amount":"+0.7938925623893738","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q638751$BA0F234E-5DFA-4C4A-9913-70134A79764E","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"An asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/An_asymptotic_expansion_for_the_distribution_of_the_supremum_of_a_Markov-modulated_random_walk"}}}}}