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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2009 Volume 15(31), Issue 2, Pages 99–118 (Mi thsp88)

Weak convergence of first-rare-event times for semi-Markov processes II

Myroslav Drozdenko

Division of Mathematics and Applied Mathematics, Mälardalen University, Box 883, SE-72123 Västerås, Sweden

Abstract: Necessary and sufficient conditions for the weak convergence of flows of rare events controlled by semi-Markov processes with a finite set of states in schemes of series are given. Applications of the obtained results to geometric sums, risk processes, and queueing systems are presented.

Keywords: Weak convergence, semi-Markov processes, first-rare-event times, limit theorems, necessary and sufficient conditions, flows of rare events, risk theory, queueing systems.

MSC: 60K15, 60F17, 60K20

Language: English



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