Entrance-exit distributions for Markov additive processes

1976 ◽  
pp. 22-38 ◽  
Author(s):  
Erhan Çinlar
Keyword(s):  
Additive Processes ◽  
Exit Distributions ◽  
Markov Additive Processes

L�vy systems of Markov additive processes

1975 ◽  
Vol 31 (3) ◽  
pp. 175-185 ◽  
Author(s):  
Erhan �inlar
Keyword(s):  
Additive Processes ◽  
Markov Additive Processes

scholarly journals Γ-minimax sequential estimation for Markov-additive processes

2001 ◽  
Vol 28 (4) ◽  
pp. 467-485
Author(s):  
Ryszard Magiera
Keyword(s):  
Sequential Estimation ◽  
Additive Processes ◽  
Markov Additive Processes

scholarly journals First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type

2008 ◽  
Vol 45 (03) ◽  
pp. 779-799 ◽  
Author(s):  
Lothar Breuer
Keyword(s):  
Inverse Function ◽  
First Passage Times ◽  
Phase Type Distribution ◽  
First Passage ◽  
Additive Processes ◽  
Special Cases ◽  
Phase Type ◽  
Spectrally Negative Lévy Processes ◽  
Passage Times ◽  
Markov Additive Processes

The present paper generalises some results for spectrally negative Lévy processes to the setting of Markov additive processes (MAPs). A prominent role is assumed by the first passage times, which will be determined in terms of their Laplace transforms. These have the form of a phase-type distribution, with a rate matrix that can be regarded as an inverse function of the cumulant matrix. A numerically stable iteration to compute this matrix is given. The theory is first developed for MAPs without positive jumps and then extended to include positive jumps having phase-type distributions. Numerical and analytical examples show agreement with existing results in special cases.

scholarly journals A Note on Wiener–Hopf Factorization for Markov Additive Processes

2012 ◽  
Vol 27 (1) ◽  
pp. 202-219 ◽  
Author(s):  
Przemysław Klusik ◽  
Zbigniew Palmowski
Keyword(s):  
Additive Processes ◽  
Markov Additive Processes

scholarly journals Markov Additive Processes II. Large Deviations

1987 ◽  
Vol 15 (2) ◽  
pp. 593-609 ◽  
Author(s):  
P. Ney ◽  
E. Nummelin
Keyword(s):  
Large Deviations ◽  
Additive Processes ◽  
Markov Additive Processes

Minimax sequential procedures for markov-additive processes

1999 ◽  
Vol 15 (5) ◽  
pp. 871-888
Author(s):  
Magiera Ryszard
Keyword(s):  
Additive Processes ◽  
Sequential Procedures ◽  
Markov Additive Processes

Fluctuations of spectrally negative Markov additive processes

2008 ◽  
pp. 121-135 ◽  
Author(s):  
Andreas E. Kyprianou ◽  
Zbigniew Palmowski
Keyword(s):  
Additive Processes ◽  
Markov Additive Processes
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