Vetenskap & teknik
Markov Chains with Asymptotically Zero Drift
Denis Denisov • Dmitry Korshunov • Vitali Wachtel • Denis Denisov • Dmitry Korshunov
Inbunden
2069:-
Uppskattad leveranstid 7-12 arbetsdagar
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This text examines Markov chains whose drift tends to zero at infinity, a topic sometimes labelled as 'Lamperti's problem'. It can be considered a subcategory of random walks, which are helpful in studying stochastic models like branching processes and queueing systems. Drawing on Doob's h-transform and other tools, the authors present novel results and techniques, including a change-of-measure technique for near-critical Markov chains. The final chapter presents a range of applications where these special types of Markov chains occur naturally, featuring a new risk process with surplus-dependent premium rate. This will be a valuable resource for researchers and graduate students working in probability theory and stochastic processes.
- Format: Inbunden
- ISBN: 9781009554220
- Språk: Engelska
- Antal sidor: 428
- Utgivningsdatum: 2025-05-08
- Förlag: Cambridge University Press