Mikael Petersson Stockholms Universitet: Asymptotic expansions for perturbed discrete time stochastic models

Abstract: This talk will be based on the subject of my PhD thesis, which will be defended 2nd June. In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. In particular, asymptotic expansions are given for solutions of renewal equations, quasi-stationary distributions for semi-Markov processes, and ruin probabilities for risk processes.

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