Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk (Q4361801)
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scientific article; zbMATH DE number 1080559
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| English | Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk |
scientific article; zbMATH DE number 1080559 |
Statements
Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk (English)
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9 August 1998
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diffusion approximation
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ladder height distribution
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Markov-dependent Wald martingale
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Markov random walk
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gambler's ruin
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0.8443602323532104
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0.8170778751373291
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0.7782231569290161
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0.7659913301467896
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