A computational approach to extreme values and related hitting probabilities in level-dependent quasi-birth-death processes

Antonio Di Crescenzo, Antonio Gómez-Corral, Diana Taipe

This paper analyzes the dynamics of a level-dependent quasi-birth-death process $\mathcal{X}=\{(I(t),J(t)):t\ge 0\}$, i.e., a bi-variate Markov chain defined on the countable state…