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Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. II
Mälardalen University, Department of Mathematics and Physics.ORCID iD: 0000-0002-2626-5598
Mälardalen University, Department of Mathematics and Physics.
2006 (English)In: Theory of Stochstic Processes, ISSN 0321-3900, Vol. 12(28), no 3-4, p. 187-202Article in journal (Refereed) Published
Abstract [en]

Necessary and sufficient condition for weak convergence of stochastic flows of first-rare-event times controlled by semi-Markov processes are given. Also necessary and sufficient conditions for diffusion and stable approximations of ruin probabilities for risk processes are given.

Place, publisher, year, edition, pages
2006. Vol. 12(28), no 3-4, p. 187-202
Keywords [en]
stochstic flow of first-rare-events, semi-Markov process, weak convergence, diffusionapproximation, stable approximation, ruin probability, necessary and sufficient conditions
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:mdh:diva-2954OAI: oai:DiVA.org:mdh-2954DiVA, id: diva2:115617
Available from: 2008-02-29 Created: 2008-02-29 Last updated: 2017-02-15Bibliographically approved

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http://tsp.imath.kiev.ua/files/24/2006_12_3-4_14.pdf

Authority records BETA

Silvestrov, Dmitrii S.

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