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Overshoot functionals for almost semicontinuous processes defined on a Markov chain
Author(s):
E.
V.
Karnaukh
Translated by:
N. Semenov
Original publication:
Teoriya Imovirnostei ta Matematichna Statistika,
vipusk 76
(2007).
Journal:
Theor. Probability and Math. Statist.
No. 76
(2008),
49-57.
MSC (2000):
Primary 60G50, 60J70;
Secondary 60K10, 60K15
Posted:
July 14, 2008
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Abstract:
The distributions of overshoot functionals are considered in the paper for almost semicontinuous processes defined on a finite irreducible Markov chain.
References:
-
- 1.
- D. V. Gusak, Boundary Problems for Processes with Independent Increments on Finite Markov Chains and for Semi-Markov Processes, Institute of Mathematics, National Academy of Sciences of Ukraine, Kyiv, 1998. (Ukrainian)
MR 1710395 (2000m:60050) - 2.
- S. Asmussen, Ruin Probabilities, World Scientific, Singapore, 2000. MR 1794582 (2001m:62119)
- 3.
- D. V. Gusak, The distribution of extrema for risk processes on a finite Markov chain, Theory Stoch. Process. 7(23) (2001), no. 1-2, 109-120.
- 4.
- D. V. Gusak and E. V. Karnaukh, Matrix factorization identity for almost semi-continuous processes on a Markov chain, Theory Stoch. Process. 11(27) (2005), no. 1-2, 40-47. MR 2327445 (2008e:60314)
- 5.
- V. S. Korolyuk and A. F. Turbin, Semi-Markov Processes and their Applications, ``Naukova dumka'', Kiev, 1976. (Russian) MR 0420902 (54:8913)
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60G50, 60J70,
60K10, 60K15
Additional Information:
E.
V.
Karnaukh
Affiliation:
Department of Probability Theory and Mathematical Statistics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email:
kveugene@univ.kiev.ua
DOI:
10.1090/S0094-9000-08-00731-X
PII:
S 0094-9000(08)00731-X
Keywords:
Overshoot functionals,
almost semicontinuous processes,
ruin probability
Received by editor(s):
31/OCT/2005
Posted:
July 14, 2008
Copyright of article:
Copyright
2008,
American Mathematical Society
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