Let P = (pjk) be the transition matrix of an ergodic, finite Markov chain with no cyclically moving sub-classes. For each possible transition (j, k), let Hjk(x) be a distribution function admitting a ...

This is a preview. Log in through your library . Abstract Let $\{X_n\}$ be a sequence of independent random variables none of which are degenerate and define for $y ...

This paper studies the approximation of extreme quantiles of random sums of heavy-tailed random variables, or, more specifically, subexponential random variables. A key application of this ...