Discrete and Continuous Time Modulated Random Walks with Heavy-Tailed Increments

Author:

Foss Serguei,Konstantopoulos Takis,Zachary Stan

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference33 articles.

1. Alsmeyer, G., Sbignev, M.: On the tail behaviour of the supremum of a random walk defined on a Markov chain. Yokohama Math. J. 46, 139–159 (1999)

2. 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)

3. Asmussen, S.: Semi-Markov queues with heavy tails, In: Janssen, J., Limnios, N. (eds.) Semi-Markov Models and Applications. Kluwer, Dordrecht (1999)

4. Asmussen, S.: Ruin Probabilities. World Scientific, Singapore (2000)

5. Asmussen, S., Møller, J.R.: Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Queueing Syst. 33, 153–176 (1999)

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