Risk and duality in multidimensions

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)

zbMATH Keywords

Markov processstochastic geometryrisk processstochastic recursionChoquet capacityrandom closed setset-valued processcontent processspace lawstrong stationary dual

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Queueing theory (aspects of probability theory) (60K25)

Related Items

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

• Strong stationary times via a new form of duality
• The equivalence of absorbing and reflecting barrier problems for stochastically monotone Markov processes
• 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
• Monotone Stochastic Recursions and their Duals
• On the Theory of Queues With Many Servers
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