Boundary Problems for Sums of Lattice Random Variables, Defined on a Finite Regular Markov Chain

DOI10.1137/1112039MaRDI QIDQ5563155zbMATH OpenOpenAlexFDO

Authors Ernst Presman

Publication date 1967

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1112039

zbMATH Keywords

probability theory

Cited in

(8)

• Risk theory in a Markovian environment
• A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model
• Conditioned local limit theorems for random walks defined on finite Markov chains
• Semi-stationary processes
• Return probabilities for the reflected random walk on \(\mathbb N_0\)
• Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption
• Limit theorems for affine Markov walks conditioned to stay positive
• Symmetric Wiener-Hopf factorisations in Markov additive processes

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