Wald's equations, first passage times and moments of ladder variables in Markov random walks

DOI10.1239/jap/1032265205zbMath0922.60043OpenAlexW1982897496MaRDI QIDQ4228259

Tze Leung Lai, Cheng-Der Fuh

Publication date: 26 April 1999

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1032265205

zbMATH Keywords

first passage timesWiener-Hopf factorizationladder variables

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Poisson equation, moment inequalities and quick convergence for Markov random walks. ⋮ Uniform Markov renewal theory and ruin probabilities in Markov random walks. ⋮ SPRT and CUSUM in hidden Markov models ⋮ Asymptotic operating characteristics of an optimal change point detection in hidden Markov models ⋮ Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift ⋮ Asymptotic behavior for Markovian iterated function systems ⋮ Fluctuation theory for Markov random walks ⋮ Ladder epochs and ladder chain of a Markov random walk with discrete driving chain ⋮ Asymptotically efficient strategies for a stochastic scheduling problem with order constraints.

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