Matrix factorization identity for almost semi-continuous processes on a Markov chain

MaRDI QIDQ5430635zbMATH OpenFDO

Authors É. V. Karnaukh, D. V. Gusak

Publication date 16 December 2007

Full work available at URL https://arxiv.org/abs/0908.4326

zbMATH Keywords

almost semi-continuous processMarkov environmentmatrix factorization identityruin probability

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Markov renewal processes, semi-Markov processes (60K15)

Abstract: In this article almost semi-continuous processes with stationary independent increments on a finite irreducible Markov chain are considered. For these processes the components of matrix factorization identity are concretely defined. On the basis of this concrete definition the relations for the distributions of extrema and distributions of their complements for the almost upper semi-continuous processes are established.

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Cited in

(4)

• Factorization identity for semicontinuous process defined on a Markov chain
• Clarification of basic factorization identity is for the almost semi-continuous latticed Poisson processes on the Markov chain
• On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain
• Two-limit problems for almost semicontinuous processes defined on a Markov chain

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