Two-limit problems for almost semicontinuous processes defined on a Markov chain

DOI10.1007/S11253-007-0041-0MaRDI QIDQ5431002zbMATH OpenOpenAlexFDO

Authors É. V. Karnaukh

Publication date 16 December 2007

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0909.1420

zbMATH Keywords

Markov chaindistribution of functionalsemicontinuous process

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: We consider almost upper semi-continuous processes defined on a finite Markov chain. The distributions of the functionals associated with the exit from a finite interval are studied. We also consider some modification of these processes.

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• Overshoot functionals for almost semi-continuous processes defined on a Markov chain
• Distributions of overshoots for almost continuous stochastic processes defined on a Markov chain
• The distribution of overshoots for the almost semi-continuous processes defined on a Markov chain.
• On the moment-generating functions of extrema and their complements for almost semicontinuous integer-valued Poisson processes on Markov chains
• Behaviour of an almost semicontinuous Poisson process on a Markov chain upon attainment of a level
• Continuity of mean recurrence times in denumerable semi-Markov processes

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