The ruin problem for finite Markov chains (Q1176371): Difference between revisions

Let \(\{\xi_ k\}^ \infty_{k=0}\) be an irreducible, stationary Markov chain with state space \(\{1,\dots,r\}\) and \(U_ k(i,j)\) independent random variables such that the matrices \(\{U_ k(i,j)\}^ r_{i,j=1}\), \(k=1,2,\dots\), are i.i.d. and independent of \(\{\xi_ k\}\). Now consider the Markov random walk \(S_ n=\sum_{k=1}^ n U_ k(\xi_{k- 1},\xi_ k)\), \(n\geq 0\). For a large class of sets \(A\) of integers and all sets \(B\) of positive integers the author determines the asymptotic behaviour of \[ Z_{ij}(n,u)=\text{prob} (N(u)\in n\in A, \;S_{N(u)}\in u+B, \;\xi_{n(u)}=j\mid\;\xi_ 0=i), \] where \(U(u)=\min(n>0;\;S_ n>u)\) is the first passage time. This extends results by Miller, Presman, and Arndt from the sixties and early eighties. See also \textit{Th. Höglund} [Ann. Probab. 18, No. 1, 378-389 (1990; Zbl 0703.60067)].