Markov Chains with Asymptotically Zero Drift: Lamperti's Problem
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ID: 288157
2025
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Abstract
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.
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persistent_1761420402_68fd24727e568
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| Authors | Vitali Wachtel |
| Journal | ADVANCES IN ARCHAEOLOGICAL PRACTICE |
| Year | 2025 |
| DOI |
10.1017/9781009554237
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| URL | |
| Keywords | Keywords not found |
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