Local asymptotics of a Markov modulated random walk with heavy-tailed increments

doi:10.1007/s10114-011-8191-2

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	Local asymptotics of a Markov modulated random walk with heavy-tailed increments
	Wang, Bing Chang 2; Liu, Yuan Yuan 1
	2011-09-01
发表期刊	ACTA MATHEMATICA SINICA-ENGLISH SERIES
ISSN	1439-8516
卷号	27 期号:9 页码:1843-1854
摘要	In 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.
关键词	Markov modulated random walk local asymptotics long-tailed distributions subexponential distributions Wiener-Hopf factorization
DOI	10.1007/s10114-011-8191-2
语种	英语
资助项目	National 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研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000294059100014
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12804
专题	中国科学院数学与系统科学研究院
通讯作者	Liu, Yuan Yuan
作者单位	1.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
推荐引用方式 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.