scientific article; zbMATH DE number 1494200

MaRDI QIDQ4497352zbMATH OpenFDO

Authors A. A. Borovkov, Anatoli Mogulskii

Publication date 16 October 2001

zbMATH Keywords

large deviationsasymptotic behaviorergodic Markov chainssolution of the integral equation

Mathematics Subject Classification ID

Large deviations (60F10) Continuous-time Markov processes on general state spaces (60J25)

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Cited in

(7)

• Large deviations for Markov chains in the positive quadrant
• Moderate deviations for stationary sequences of Hilbert-valued bounded random variables
• Stationary analysis of certain Markov-modulated reflected random walks in the quarter plane
• Asymptotic analysis of Lévy-driven tandem queues
• Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
• Tail asymptotics of the stationary distribution of a two-dimensional reflecting random walk with unbounded upward jumps
• Estimation of the realized (co-)volatility vector: large deviations approach

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