Fluctuations of extremal Markov chains driven by the Kendall convolution
Abstract
The paper deals with fluctuations of Kendall random walks, which are extremal Markov chains and iterated integral transforms with the Williamson kernel $\Psi(t) = \left(1t^{\alpha}\right)_+$, $\alpha>0$. We obtain the joint distribution of the first ascending ladder epoch and height over any level $a \geq 0$ and distribution of maximum and minimum for these extremal Markovian sequences solving recursive integral equations. We show that distribution of the first crossing time of level $a \geq0$ is a mixture of geometric and negative binomial distributions. The Williamson transform is the main tool for considered problems connected with the Kendall convolution. All results are described by the Williamson transform of the unit step distribution of Kendall random walks. Using regular variation, we investigate the asymptotic properties of the maximum distribution.
 Publication:

arXiv eprints
 Pub Date:
 February 2019
 arXiv:
 arXiv:1902.00576
 Bibcode:
 2019arXiv190200576J
 Keywords:

 Mathematics  Probability;
 60K05;
 60G70;
 44A35;
 60J05;
 60E10