An asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk

DOI10.21099/TKBJM/1311081452MaRDI QIDQ638751zbMATH OpenOpenAlexFDO

Authors M. S. Sgibnev

Publication date 14 September 2011

Published in Tsukuba Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.tkbjm/1311081452

zbMATH Keywords

asymptotic expansioncharacteristic equationBanach algebrasupremumsubmultiplicative functionfinite Markov chainMarkov-modulated random walk

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50)

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Cited in

(8)

• Asymptotic expansions for the distribution of the crossing number of a strip by a Markov-modulated random walk
• Supremum asymptotics for random walk with switching
• Fluctuation theory of Markov random walks and Markov modulated random difference equations
• An asymptotic expansion for the distribution of the supremum of a random walk
• The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
• Asymptotic properties of the occupation measure in a multidimensional skip-free Markov-modulated random walk
• Submultiplicative moments of the supremum of a Markov-modulated random walk
• scientific article; zbMATH DE number 4115670 (Why is no real title available?)

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