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Local asymptotics of a Markov modulated random walk with heavy-tailed increments
Wang, Bing Chang2; Liu, Yuan Yuan1
2011-09-01
Source PublicationACTA MATHEMATICA SINICA-ENGLISH SERIES
ISSN1439-8516
Volume27Issue:9Pages:1843-1854
AbstractIn this paper, we obtain sufficient and necessary conditions for local asymptotics for the maximum of a Markov modulated random walk with long-tailed increments and negative drifts, where the local asymptotics means asymptotic behaviour of P(center dot a (x, x + z]) for each z > 0, as x -> a. Our results extend and improve the existing ones in the literature.
KeywordMarkov modulated random walk local asymptotics long-tailed distributions subexponential distributions Wiener-Hopf factorization
DOI10.1007/s10114-011-8191-2
Language英语
Funding ProjectNational Natural Science Foundation of China[10901164] ; National Natural Science Foundation of China[10771216] ; Scientific Research Foundation for the Returned Overseas Chinese Scholars, Ministry of Education
WOS Research AreaMathematics
WOS SubjectMathematics, Applied ; Mathematics
WOS IDWOS:000294059100014
PublisherSPRINGER HEIDELBERG
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/12804
Collection中国科学院数学与系统科学研究院
Affiliation1.Cent S Univ, Sch Math, Changsha 410075, Hunan, Peoples R China
2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Wang, Bing Chang,Liu, Yuan Yuan. Local asymptotics of a Markov modulated random walk with heavy-tailed increments[J]. ACTA MATHEMATICA SINICA-ENGLISH SERIES,2011,27(9):1843-1854.
APA Wang, Bing Chang,&Liu, Yuan Yuan.(2011).Local asymptotics of a Markov modulated random walk with heavy-tailed increments.ACTA MATHEMATICA SINICA-ENGLISH SERIES,27(9),1843-1854.
MLA Wang, Bing Chang,et al."Local asymptotics of a Markov modulated random walk with heavy-tailed increments".ACTA MATHEMATICA SINICA-ENGLISH SERIES 27.9(2011):1843-1854.
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