First passage problems for upwards skip-free random walks via the scale functions paradigm

DOI10.1017/APR.2019.17zbMATH Open1427.60077arXiv1708.06080OpenAlexW2965186072WikidataQ127400771 ScholiaQ127400771MaRDI QIDQ5203941FDOQ5203941

Authors: F. Avram, Matija Vidmar 

Publication date: 9 December 2019

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

Abstract: We develop the theory of the $W$ and $Z$ scale functions for right-continuous (upwards skip-free) discrete-time discrete-space random walks, along the lines of the analogue theory for spectrally negative L'evy processes. Notably, we introduce for the first time in this context the one and two-parameter scale functions $Z$, which appear for example in the joint problem of deficit at ruin and time of ruin, and in problems concerning the walk reflected at an upper barrier. Comparisons are made between the various theories of scale functions as one makes time and/or space continuous. The theory is shown to be fruitful by providing a convenient unified framework for studying dividends-capital injection problems under various objectives, for the so-called compound binomial risk model of actuarial science.

Full work available at URL: https://arxiv.org/abs/1708.06080

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zbMATH Keywords

random walkmartingalescale functioncompound binomial risk modelskip-free Markovian jump process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50)

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Cited In (9)

• Exit times for a discrete Markov additive process
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• On Block Skip Free Transition Matrices and First Passage Times
• Sterile versus prolific individuals pertaining to linear-fractional Bienaymé-Galton-Watson trees
• On crossing times for multidimensional walks with skip-free components
• Fluctuations of an omega-type killed process in discrete time
• First passage problems for upwards skip-free random walks via the scale functions paradigm
• Exit problems for positive self-similar Markov processes with one-sided jumps
• Some harmonic functions for killed Markov branching processes with immigration and culling

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