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

Loading...
Thumbnail Image
Identifiers
Publication date
2010-10
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Impact
Google Scholar
Export
Research Projects
Organizational Units
Journal Issue
Abstract
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.
Description
Keywords
Lévy processes, Fluctuation theory, Markov Additive Processes
Bibliographic citation