Uniform Markov renewal theory and ruin probabilities in Markov random walks

Annals of Applied Probability

Volumn 14, Issue 3, 2004, Pages 1202-1241

  Fuh, Cheng Der ^a,b  

^a ACADEMIA SINICA   (Taiwan)

^b INSTITUTE OF STATISTICAL SCIENCE   (Taiwan)

Author keywords

Brownian approximation; First passage probabilities; Ladder height distribution; Markov dependent Wald martingale; Products of random matrices; Random coefficient models; Uniform Markov renewal theory

Indexed keywords

EID: 24344461148     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051604000000260     Document Type: Article

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