Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I

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Фізико-технічні та математичні науки
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Відділення математики
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Theory of Stochastic Processes
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Theory of Stochastic Processes, 2006 (Volume 12 (28))
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Theory of Stochastic Processes, 2006, № 3-4
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Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I

URI: http://dspace.nbuv.gov.ua/handle/123456789/4465

Посилання: Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I / D.S. Silvestrov, M.O. Drozdenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 151–186. — Бібліогр.: 62 назв.— англ.

Дата: 2006

Завантажень: 558

Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I

Анотація:

Necessary and sufficient conditions for weak convergence of ﬁrst-rareevent times for semi-Markov processes with ﬁnite set of states are obtained. These results are applied to risk processes and give necessary and sufficient conditions for stable approximation of ruin probabilities including the case of diffusion approximation.

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