The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails
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- Asmussen, Søren & Kalashnikov, Vladimir & Konstantinides, Dimitrios & Klüppelberg, Claudia & Tsitsiashvili, Gurami, 2002. "A local limit theorem for random walk maxima with heavy tails," Statistics & Probability Letters, Elsevier, vol. 56(4), pages 399-404, February.
- Alsmeyer, Gerold, 1994. "On the Markov renewal theorem," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 37-56, March.
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- Serguei Foss & Takis Konstantopoulos & Stan Zachary, 2007. "Discrete and Continuous Time Modulated Random Walks with Heavy-Tailed Increments," Journal of Theoretical Probability, Springer, vol. 20(3), pages 581-612, September.
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Keywords
Extremes Heavy tails Markov additive processes Markov chains Markov modulated queues Regeneration Regular variation Subexponential distributions;Statistics
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