Overshoot functionals for almost semi-continuous processes defined on a Markov chain

MaRDI QIDQ5325335zbMATH OpenFDO

Authors É. V. Karnaukh

Publication date 8 August 2009

Full work available at URL https://arxiv.org/abs/0909.3690, http://www.ams.org/tpms/2008-76-00/S0094-9000-08-00731-X/home.html

zbMATH Keywords

Markov chainover-jump functionalsemicontinuous process

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 the article the distributions of overjump functionals for almost semi-continuous processes on a finite irreducible Markov chain are considered.

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Cited in

(7)

• On the moment-generating functions of extrema and their complements for almost semicontinuous integer-valued Poisson processes on Markov chains
• Behaviour of an almost semicontinuous Poisson process on a Markov chain upon attainment of a level
• The distribution of overshoots for the almost semi-continuous processes defined on a Markov chain.
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• On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain
• Distributions of overshoots for almost continuous stochastic processes defined on a Markov chain
• Two-limit problems for almost semicontinuous processes defined on a Markov chain

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