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

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

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 cas...

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Збережено в:
Бібліографічні деталі
Дата:2006
Автори: Silvestrov, D.S., Drozdenko, M.O.
Формат: Стаття
Мова:English
Опубліковано: Інститут математики НАН України 2006
Онлайн доступ:http://dspace.nbuv.gov.ua/handle/123456789/4465
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Назва журналу:Digital Library of Periodicals of National Academy of Sciences of Ukraine
Цитувати: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.

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Digital Library of Periodicals of National Academy of Sciences of Ukraine
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spelling irk-123456789-44652009-11-12T12:00:31Z Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I Silvestrov, D.S. Drozdenko, M.O. 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. 2006 Article 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. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4465 en Інститут математики НАН України
institution Digital Library of Periodicals of National Academy of Sciences of Ukraine
collection DSpace DC
language English
description 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.
format Article
author Silvestrov, D.S.
Drozdenko, M.O.
spellingShingle Silvestrov, D.S.
Drozdenko, M.O.
Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I
author_facet Silvestrov, D.S.
Drozdenko, M.O.
author_sort Silvestrov, D.S.
title Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I
title_short Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I
title_full Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I
title_fullStr Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I
title_full_unstemmed Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I
title_sort necessary and sufficient conditions for weak convergence of first-rare-event times for semi-markov processes. i
publisher Інститут математики НАН України
publishDate 2006
url http://dspace.nbuv.gov.ua/handle/123456789/4465
citation_txt 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.
work_keys_str_mv AT silvestrovds necessaryandsufficientconditionsforweakconvergenceoffirstrareeventtimesforsemimarkovprocessesi
AT drozdenkomo necessaryandsufficientconditionsforweakconvergenceoffirstrareeventtimesforsemimarkovprocessesi
first_indexed 2023-03-24T08:30:16Z
last_indexed 2023-03-24T08:30:16Z
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