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

• Datum: 2006
• ISSN: 0321-3900
• Hauptverfasser: Silvestrov, D.S., Drozdenko, M.O.
• Format: Artikel
• Sprache: Englisch
• Veröffentlicht: Інститут математики НАН України 2006
• Online Zugang: https://nasplib.isofts.kiev.ua/handle/123456789/4465
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Zitieren: 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.

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...