Numerical Calculation of Ruin Probabilities for Skip-Free Markov Chains.
Masaaki KijimaPublished in: SIAM Rev. (1993)
Keyphrases
- markov chain
- numerical calculation
- transition probabilities
- steady state
- numerical simulations
- markov process
- monte carlo
- random walk
- state space
- finite state
- stochastic process
- markov model
- stationary distribution
- monte carlo method
- monte carlo simulation
- markov processes
- probability distribution
- probabilistic automata
- vector field
- markov models
- transition matrix
- belief networks
- gibbs sampling
- learning algorithm
- assemble to order systems
- maximum entropy
- theoretical analysis
- objective function