We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.
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.
Loading metrics...
* Views captured on Cambridge Core between #date#. This data will be updated every 24 hours.
Usage data cannot currently be displayed.