Multivariate extremal processes, leader processes and dynamic choice models

DOI10.2307/1427538MaRDI QIDQ3476087zbMATH OpenOpenAlexFDO

Authors Rishin Roy, Sidney I. Resnick

Publication date 1990

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427538

zbMATH Keywords

bivariate processmaximal utilityMarkov chain with stationary transition probabilitiestime-dependent behavior of a random utility

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Utility theory (91B16)

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• Super-extremal processes and the argmax process
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• On min-stable horse races with infinitely many horses
• Dependence structure of risk factors and diversification effects

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