Fluctuations of spectrally negative Markov additive processes

Reference:

Kyprianou, A. E. and Palmowski, Z., 2008. Fluctuations of spectrally negative Markov additive processes. In: Séminaire de Probabilités XLI. Vol. 1934. Berlin: Springer, pp. 121-135. (Lecture Notes in Mathematics)

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Official URL:

http://dx.doi.org/10.1007/978-3-540-77913-1_5

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.

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