The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails

Stochastic Processes and their Applications

Volumn 115, Issue 4, 2005, Pages 579-591

  Hansen, Niels Richard ^a   Jensen, Anders Tolver ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Extremes; Heavy tails; Markov additive processes; Markov chains; Markov modulated queues; Regeneration; Regular variation; Subexponential distributions

Indexed keywords

ASYMPTOTIC STABILITY; CONVERGENCE OF NUMERICAL METHODS; PROBABILITY DISTRIBUTIONS; QUEUEING THEORY; STATE SPACE METHODS;

HEAVY TAILS; MARKOV ADDITIVE PROCESSES; MARKOV MODULATED QUEUES; REGULAR VARIATION; SUBEXPONENTIAL DISTRIBUTIONS;

MARKOV PROCESSES;

EID: 14844360034     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.11.001     Document Type: Article

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