Tails of passage-times and an application to stochastic processes with boundary reflection in wedges

DOI10.1016/S0304-4149(96)00118-4MaRDI QIDQ1382504zbMATH OpenFDO

Authors Sanjar Aspandiiarov, R. Iasnogorodski

Publication date 29 March 1998

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(96)00118-4

zbMATH Keywords

Markov chain with boundary reflectionpassage-timesrecurrence classificationreflected Brownian motion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

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Cites work

• Brownian motion in a wedge with oblique reflection
• Criteria for stochastic processes. II: Passage-time moments
• General Criteria of Integrability of Functions of Passage-Times for Nonnegative Stochastic Processes and Their Applications
• General Irreducible Markov Chains and Non-Negative Operators
• Geometric ergodicity of Harris recurrent Markov chains with applications to renewal theory
• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 3151099 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Markov chains and stochastic stability
• On the convergence of 2-dimensional markov chains in quadrants with boundary reflection
• Passage-time moments for continuous non-negative stochastic processes and applications
• Passage-time moments for nonnegative stochastic processes and an application to reflected random walks in a quadrant
• Random walks in a quarter plane with zero drifts. I: Ergodicity and null recurrence
• Random walks in a quarter plane with zero drifts: transience and recurrence
• Recurrence classification and invariant measure for reflected Brownian motion in a wedge
• Subgeometric Rates of Convergence of f-Ergodic Markov Chains
• Topics in the Constructive Theory of Countable Markov Chains

Cited in

(11)

• On polynomial mixing bounds for stochastic differential equations
• Slow recurrent regimes for a class of one-dimensional stochastic growth models
• Reflecting random walks in curvilinear wedges
• Excursions and path functionals for stochastic processes with asymptotically zero drifts
• Passage-time moments for nonnegative stochastic processes and an application to reflected random walks in a quadrant
• Asymptotic behaviour of first passage time distributions for Lévy processes
• Passage-time moments for continuous non-negative stochastic processes and applications
• General Criteria of Integrability of Functions of Passage-Times for Nonnegative Stochastic Processes and Their Applications
• Passage-time moments and hybrid zones for the exclusion-voter model
• The simple harmonic urn
• Passage-times for partially-homogeneous reflected random walks on the quadrant

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