First passage times of general sequences of random vectors: A large deviations approach

DOI10.1016/S0304-4149(98)00056-8zbMath0934.60025MaRDI QIDQ1807272

Jeffrey F. Collamore

Publication date: 18 November 1999

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

zbMATH Keywords

large deviation principle; first passage time; convex analysis

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

60F10: Large deviations

60K10: Applications of renewal theory (reliability, demand theory, etc.)

52A20: Convex sets in (n) dimensions (including convex hypersurfaces)

Related Items

Power estimates for ruin probabilities, An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes, Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors, Finite and infinite time ruin probabilities in a stochastic economic environment., Recursive methods for a multi-dimensional risk process with common shocks, Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov additive processes. I: Eigenvalue properties and limit theorems
• Markov additive processes. II: Large deviations
• Hitting probabilities and large deviations
• Large deviations for a general class of random vectors
• Aspects of risk theory
• Large exceedances for multidimensional Lévy processes
• Entropy, a useful concept in risk theory
• Ruin probabilities expressed in terms of ladder height distributions
• Rough descriptions of ruin for a general class of surplus processes
• Rough limit results for level-crossing probabilities
• Large exceedences for uniformly recurrent Markov-additive processes and strong-mixing stationary processes
• Convex Analysis