Wyniki wyszukiwania - BazTech

Ograniczanie wyników

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: ladder variables

Sortuj według:

Ogranicz wyniki do:

The ladder variables of a Markov random walk

Alsmeyer G.

Probability and Mathematical Statistics

2000

Vol. 20, Fasc. 1

151--168

Given a Harris chain (Mn)n≥0 on any state space (S, C) with essentially unique stationary measure ξ, let (Xn)n≥0 be a sequence of real-valued random variables which are conditionally independent, given (Mn)n≥0, and satisfy [formula].. for some stochastic kernel Q : S2 × B → [0, 1] and all k ≥ 1. Denote by Sn the n-th partial sum of this sequence. Then (Mn, Sn)n≥0 forms a so-called Markov random walk with driving chain (Mn, Sn)n≥0. Its stationary mean drift is given by μ = EξX1 and assumed to be positive in which case the associated (strictly ascending) ladder epochs [formula].. and the ladder heights S*n = Sσn for n ≥ 0 are a.s. positive and finite randomvariables. Put M*n = Mσn. ……..[formula]