In this paper, we consider the asymptotic behavior of stationary probability vectors of Markov chains of GI/G/1 type. The generating function of the stationary probability vector is explicitly ...
A Markov chain is a sequence of random variables that satisfies P(X t+1 ∣X t ,X t−1 ,…,X 1 )=P(X t+1 ∣X t ). Simply put, it is a sequence in which X t+1 depends only on X t and appears before X t−1 ...
The probability distribution of the number of defaults plays an important role in pricing problems of multiple-name credit derivatives. When the group size gets large, it becomes increasingly ...
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