Extreme Value Distributions for Two Kinds of Path Sums of Markov Chain

被引：0
|
作者：
Lei Gao
Dong Han
机构：
[1] Shanghai Jiao Tong University,Department of Mathematical Sciences
来源：
Methodology and Computing in Applied Probability | 2020年 / 22卷
关键词：
Extreme value; Path sums; Limiting distributions; Markov chain; Numerical experiments; 60F99; 60G70; 60J10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We consider the extreme value distributions for two kinds of path sums on condition that every path is a discrete time, homogeneous and irreducible ergodic Markov chain with a finite number of states. We not only derive the extreme value distribution for the first kind but also establish the equivalence of limit distributions of a sum and of a maximum sum for the second kind. Numerical experiments are conducted to confirm our results.
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页码：279 / 294
页数：15
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