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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
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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

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