Local asymptotics of a Markov modulated random walk with heavy-tailed increments

被引：0
|
作者：
Bing Chang Wang
Yuan Yuan Liu
机构：
[1] Chinese Academy of Sciences,Institute of Systems Science, Academy of Mathematics and Systems Science
[2] Central South University,School of Mathematics, Railway Campus
来源：
Acta Mathematica Sinica, English Series | 2011年 / 27卷
关键词：
Markov modulated random walk; local asymptotics; long-tailed distributions; subexponential distributions; Wiener-Hopf factorization; 60G70; 60J10;
D O I：
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中图分类号：
学科分类号：
摘要：
In this paper, we obtain sufficient and necessary conditions for local asymptotics for the maximum of a Markov modulated random walk with long-tailed increments and negative drifts, where the local asymptotics means asymptotic behaviour of P(· ∈ (x, x + z]) for each z > 0, as x→∞. Our results extend and improve the existing ones in the literature.
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页码：1843 / 1854
页数：11
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