Fluctuation theory for Markov random walks

DOI10.1007/s10959-017-0778-9zbMath1434.60255arXiv1608.08377OpenAlexW2963352788MaRDI QIDQ1800502

Gerold Alsmeyer, Fabian Buckmann

Publication date: 24 October 2018

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.08377

zbMATH Keywords

renewal theoryfluctuation theoryfirst exit timeMarkov random walkladder epochlast exit timediscrete Markov chainfluctuation-type trichotomyKesten trichotomyKesten-Maller theoremnull-homologypositive divergenceSpitzer-Erickson theorem

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Markov renewal processes, semi-Markov processes (60K15) Renewal theory (60K05)

Related Items (5)

Exponential functionals of Markov additive processes ⋮ On null-homology and stationary sequences ⋮ Stability of overshoots of Markov additive processes ⋮ Entrance laws at the origin of self-similar Markov processes in high dimensions ⋮ Ladder epochs and ladder chain of a Markov random walk with discrete driving chain

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