Factorization Representations in the Boundary Crossing Problems for Random Walks on a Markov Chain

Author:

Lotov V. I.,Orlova N. G.

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics

Reference6 articles.

1. Presman E. L., “Factorization methods and boundary problems for the sums of random variables defined on Markov chains,” Math. USSR Izv., No. 3, 815–852 (1969).

2. Miller H. D., “A matrix factorization problem in the theory of random variables defined on a finite Markov chain,” Proc. Cambridge Philos. Soc., 58, No.2, 268–285 (1962).

3. Arndt K., “Asymptotic properties of the distribution of the supremum of a random walk on a Markov chain,” Theory Probab. Appl., 25, 309–324 (1980).

4. Lotov V. I., “On the asymptotics of the distributions in the two-sided boundary problems for the random walks defined on a Markov chain,” Trudy Inst. Mat. (Novosibirsk), 13, pp. 116–136 (1989).

5. Lotov V. I., “On an approach to two-sided boundary problems,” in: Statistics and Control of Stochastic Processes [in Russian], Nauka, Moscow, 1989, pp. 117–121.

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