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.
Citation
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
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