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Fluctuations of spectrally negative Markov additive processes


Reference:

Kyprianou, A. E. and Palmowski, Z., 2008. Fluctuations of spectrally negative Markov additive processes. Berlin: Springer, pp. 121-135. (Lecture Notes in Mathematics)

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Abstract

For spectrally negative Markov Additive Processes (MAPs) we generalize classical fluctuation identities developed in (1964), (1967), (1975), (1976), (1973), (1990) and (1997) which concern one and two sided exit problems for spectrally negative Lévy processes.

Details

Item Type Conference or Workshop Items (UNSPECIFIED)
CreatorsKyprianou, A. E.and Palmowski, Z.
DOI10.1007/978-3-540-77913-1_5
DepartmentsFaculty of Science > Mathematical Sciences
StatusPublished
ID Code24216

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