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

DOI10.1137/1112039zbMATH Open0174.49702OpenAlexW1985170156MaRDI QIDQ5563155FDOQ5563155

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
• Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption
• Limit theorems for affine Markov walks conditioned to stay positive
• Return probabilities for the reflected random walk on \(\mathbb N_0\)
• Symmetric Wiener-Hopf factorisations in Markov additive processes
• Semi-stationary processes
• Conditioned local limit theorems for random walks defined on finite Markov chains

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