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June 2011 An asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk
Mikhail Sgibnev
Tsukuba J. Math. 35(1): 103-113 (June 2011). DOI: 10.21099/tkbjm/1311081452

Abstract

We obtain an asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk, which takes into account the influence of the roots of the characteristic equation. An estimate is given for the remainder term by means of submultiplicative weight functions.

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Mikhail Sgibnev. "An asymptotic expansion for the distribution of the supremum of a Markov-modulated random walk." Tsukuba J. Math. 35 (1) 103 - 113, June 2011. https://doi.org/10.21099/tkbjm/1311081452

Information

Published: June 2011
First available in Project Euclid: 19 July 2011

zbMATH: 1231.60067
MathSciNet: MR2848819
Digital Object Identifier: 10.21099/tkbjm/1311081452

Subjects:
Primary: 60G50 , 60J05 , 60J10

Keywords: asymptotic expansion , Banach Algebra , characteristic equation , finite Markov chain , Markov-modulated random walk , submultiplicative function , supremum

Rights: Copyright © 2011 University of Tsukuba, Institute of Mathematics

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Vol.35 • No. 1 • June 2011
Department of Mathematics, University of Tsukuba
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