Local asymptotics of a Markov modulated random walk with heavy-tailed increments

DOI10.1007/S10114-011-8191-2MaRDI QIDQ644628zbMATHOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 4 November 2011

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-011-8191-2

zbMATH Keywords

long-tailed distributionsWiener-Hopf factorizationsubexponential distributionslocal asymptoticsMarkov 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)

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Cited in

(6)

• Discrete and continuous time modulated random walks with heavy-tailed increments
• Asymptotics for the maximum of a modulated random walk with heavy-tailed increments
• The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails
• Submultiplicative moments of the supremum of a Markov-modulated random walk
• An asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk
• Local asymptotics of the cycle maximum of a heavy-tailed random walk

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