Perturbed discrete time stochastic models
2016 (English)Doctoral thesis, comprehensive summary (Other academic)
In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. In particular, asymptotic expansions are given for solutions of renewal equations, quasi-stationary distributions for semi-Markov processes, and ruin probabilities for risk processes.
Place, publisher, year, edition, pages
Stockholm: Department of Mathematics, Stockholm University , 2016. , 48 p.
Renewal equation, Perturbation, Asymptotic expansion, Regenerative process, Risk process, Semi-Markov process, Markov chain, Quasi-stationary distribution, Ruin probability, First hitting time, Solidarity property
Probability Theory and Statistics
Research subject Mathematical Statistics
IdentifiersURN: urn:nbn:se:su:diva-128979ISBN: 978-91-7649-422-6OAI: oai:DiVA.org:su-128979DiVA: diva2:918673
2016-06-02, Sal 14, hus 5, Kräftriket, Roslagsvägen 101, Stockholm, 13:00 (English)
Limnios, Nikolaos, Professor
Silvestrov, Dmitrii, ProfessorHössjer, Ola, Professor
At the time of the doctoral defense, the following papers were unpublished and had a status as follows: Paper 4: Manuscript. Paper 5: Manuscript. Paper 6: Manuscript.2016-05-102016-04-112016-04-28Bibliographically approved
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