Markov Chains with Asymptotically Zero Drift (Hardcover) (ISBN-13: 9781009554220)

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.

Author: Denis Denisov, Dmitry Korshunov, Vitali Wachtel
ISBN-10: 1009554220
ISBN-13: 9781009554220
Publisher: Cambridge University Press
Language: English
Published: 05/08/2025
Pages: 428
Format: Hardcover
Weight: 1.63lbs
Size: 9.00h x 6.00w x 0.94d