Distributions of overshoots for almost continuous stochastic processes defined on a Markov chain

Author:
M. S. Gerych

Translated by:
S. Kvasko

Original publication:
Teoriya Imovirnostei ta Matematichna Statistika, tom **94** (2016).

Journal:
Theor. Probability and Math. Statist. **94** (2017), 37-52

MSC (2010):
Primary 42C40; Secondary 60G12

DOI:
https://doi.org/10.1090/tpms/1007

Published electronically:
August 25, 2017

Full-text PDF

Abstract | References | Similar Articles | Additional Information

Abstract: We study the distributions of overshoots for the almost semi-continuous processes defined on a Markov chain. For these processes, we obtain the limit distributions of overshoots for the infinite and zero horizons.

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Additional Information

**M. S. Gerych**

Affiliation:
Department of Probability Theory and Mathematical Analysis, Faculty for Mathematics, Uzhgorod National University, Universytets’ka Street, 14, Uzhgorod 88000, Ukraine

Email:
miroslava.gerich@yandex.ua

DOI:
https://doi.org/10.1090/tpms/1007

Keywords:
Almost semi-continuous process defined on a Markov chain,
overshoot functionals,
distributions of overshoots for the infinite and zero horizons

Received by editor(s):
February 12, 2016

Published electronically:
August 25, 2017

Article copyright:
© Copyright 2017
American Mathematical Society