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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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Інститут математики НАН України
2006
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| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4465 |
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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 |
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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 |
| _version_ |
1796139183452979200 |