Approximation of the exit probability of a stable Markov modulated constrained random walk
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DOI: 10.1007/s10479-020-03693-7
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Keywords
Markov modulation; Regime switch; Multidimensional constrained random walks; Exit probabilities; Rare events; Queueing systems; Characteristic surface; Superharmonic functions; Affine transformation;All these keywords.
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