Publication:
First passage of a Markov additive process and generalized Jordan chains

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URI: https://hdl.handle.net/10016/9362
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ws103923.pdf (377.72 KB)
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2010-10
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In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix function, which plays a crucial role in fluctuation theory. We show how to identify this matrix using the theory of Jordan chains associated with analytic matrix functions. This result provides us with a technique, which can be used to derive various further identities.
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LĂ©vy processes, Fluctuation theory, Markov Additive Processes
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DES - Working Papers. Statistics and Econometrics. WS