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Cambridge University Press Markov Chains with Asymptotically Zero Drift: Lamperti's Problem: 51 (New Mathematical Monographs, Series Number 51)

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Description

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.

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
08 May 2025
Listed Since
04 December 2024

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