Corrected diffusion approximations for ruin probabilities in a Markov random walk

Advances in Applied Probability

Volumn 29, Issue 3, 1997, Pages 695-712

  Fuh, C D ^a,b  

^a ACADEMIA SINICA   (Taiwan)

^b INSTITUTE OF STATISTICAL SCIENCE   (Taiwan)

Author keywords

Diffusion approximation; Gambler's ruin; Ladder height distribution; Markov random walk; Markov dependent wald martingale

Indexed keywords

APPROXIMATION THEORY; MARKOV PROCESSES; SET THEORY; STATE SPACE METHODS;

DIFFUSION APPROXIMATION; GAMBLER'S RUIN; LADDER HEIGHT DISTRIBUTION; MARKOV RANDOM WALK;

PROBABILITY;

EID: 0031224680     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0001867800028305     Document Type: Article

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