Fluctuations of spectrally negative Markov additive processes
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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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.
|Item Type||Conference or Workshop Items (UNSPECIFIED)|
|Creators||Kyprianou, A. E.and Palmowski, Z.|
|Departments||Faculty of Science > Mathematical Sciences|
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