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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| Date: | 2006 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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Інститут математики НАН України
2006
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4465 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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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Silvestrov, D.S. Drozdenko, M.O. 2009-11-11T15:26:55Z 2009-11-11T15:26:55Z 2006 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 https://nasplib.isofts.kiev.ua/handle/123456789/4465 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. en Інститут математики НАН України Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I Article published earlier |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| title |
Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I |
| spellingShingle |
Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. I Silvestrov, D.S. Drozdenko, M.O. |
| 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 |
| author |
Silvestrov, D.S. Drozdenko, M.O. |
| author_facet |
Silvestrov, D.S. Drozdenko, M.O. |
| publishDate |
2006 |
| language |
English |
| publisher |
Інститут математики НАН України |
| format |
Article |
| 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.
|
| issn |
0321-3900 |
| url |
https://nasplib.isofts.kiev.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 |
2025-11-30T13:20:46Z |
| last_indexed |
2025-11-30T13:20:46Z |
| _version_ |
1850857654808739840 |