Some duality results for a class of multivariate semi-markov processes
Keyword(s):
The duality results well known for classical random walk and generalized by Janssen (1976) for (J-X) processes (or sequences of random variables defined on a finite Markov chain) are extended to a class of multivariate semi-Markov processes. Just as in the classical case, these duality results lead to connections between some models of risk theory and queueing theory.
Keyword(s):
1971 ◽
Vol 8
(03)
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pp. 573-588
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Asymptotic Probabilities of an Exceedance Over Renewal Thresholds with an Application to Risk Theory
2005 ◽
Vol 42
(01)
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pp. 153-162
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1962 ◽
Vol 58
(2)
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pp. 286-298
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2013 ◽
Vol 2013
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pp. 1-5
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Keyword(s):
1972 ◽
Vol 4
(02)
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pp. 285-295
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1973 ◽
Vol 26
(2)
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pp. 95-104
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