Risk and duality in multidimensions
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Publication:1613646
DOI10.1016/S0304-4149(99)00046-0zbMath0997.60069MaRDI QIDQ1613646
Karl Sigman, Bartlomiej Blaszczyszyn
Publication date: 29 August 2002
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Markov processstochastic geometryrisk processstochastic recursionChoquet capacityrandom closed setset-valued processcontent processspace lawstrong stationary dual
Discrete-time Markov processes on general state spaces (60J05) Queueing theory (aspects of probability theory) (60K25)
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SIEGMUND DUALITY FOR MARKOV CHAINS ON PARTIALLY ORDERED STATE SPACES ⋮ Generalized gambler's ruin problem: explicit formulas via Siegmund duality ⋮ Lévy Processes with Two-Sided Reflection ⋮ A multidimensional ruin problem and an associated notion of duality
Cites Work
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- Stochastic ordering and dependence in applied probability
- Counterexamples in importance sampling for large deviations probabilities
- The probability of large queue lengths and waiting times in a heterogeneous multiserver queue I: Tight limits
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