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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.

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

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