The ruin problem for finite Markov chains

DOI10.1214/AOP/1176990345zbMath0744.60083OpenAlexW2005717627MaRDI QIDQ1176371

Thomas Höglund

Publication date: 25 June 1992

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176990345

zbMATH Keywords

asymptotic behaviourMarkov chainlarge deviationsfirst passage timeboundary crossings

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (6)

On the Effect of Finite Buffer Truncation in a Two-Node Jackson Network ⋮ On asymptotically efficient simulation of ruin probabilities in a Markovian environment ⋮ Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks ⋮ A multi-dimensional renewal theorem for finite Markov chains ⋮ Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift ⋮ Asymptotics of first passage times for random walk in an orthant

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