Uniform Markov renewal theory and ruin probabilities in Markov random walks
نویسندگان
چکیده
منابع مشابه
Uniform Markov Renewal Theory and Ruin Probabilities in Markov Random Walks
Let {Xn, n≥ 0} be a Markov chain on a general state space X with transition probability P and stationary probability π. Suppose an additive component Sn takes values in the real line R and is adjoined to the chain such that {(Xn, Sn), n≥ 0} is a Markov random walk. In this paper, we prove a uniform Markov renewal theorem with an estimate on the rate of convergence. This result is applied to bou...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2004
ISSN: 1050-5164
DOI: 10.1214/105051604000000260