Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift
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Publication:5426471
DOI10.1239/aap/1189518640zbMath1127.60084OpenAlexW2092109088MaRDI QIDQ5426471
Publication date: 12 November 2007
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1189518640
Poisson equationovershootboundary crossing probabilityladder height distributionMarkov-dependent Wald martingaleuniform Markov renewal theory
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov renewal processes, semi-Markov processes (60K15) Renewal theory (60K05)
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Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula, Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes
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