Convergence of large deviation rates based on a link between wave governed random motions and ruin processes

DOI10.1016/J.SPL.2008.08.003zbMATH Open1163.60013OpenAlexW1987025824MaRDI QIDQ1003433FDOQ1003433

Authors: Claudio Macci 

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.08.003

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zbMATH Keywords

Markov additive processesLarge deviation ratesRandom motionsRuin processes

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Large deviations (60F10)

Cites Work

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• Markov additive processes. I: Eigenvalue properties and limit theorems
• Markov additive processes. II: Large deviations
• Relative entropy between Markov transition rate matrices
• A link between wave governed random motions and ruin processes
• A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain
• On fluid model and averaged parameters model for Markov additive processes with finite environment's state space
• Continuous-time Markov additive processes: Composition of large deviations principles and comparison between exponential rates of convergence
• Simulating level-crossing probabilities by importance sampling
• Importance sampling for continuous time Markov chains and applications to fluid models

Cited In (5)

• Large deviations for some non-standard telegraph processes
• Large deviation principles for telegraph processes
• A link between wave governed random motions and ruin processes
• Large Deviation Results for Wave Governed Random Motions Driven by Semi-Markov Processes
• Large deviations for a damped telegraph process

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