Fluctuations of spectrally negative Markov additive processes

被引：0
|
作者：
Kyprianou, Andreas E. [1 ]
Palmowski, Zbigniew [2 ,3 ]
机构：
[1] Univ Bath, Dept Math Sci, Bath BA2 7AY, Avon, England
[2] Univ Wroclaw, Inst Math, PL-50384 Wroclaw, Poland
[3] Univ Utrecht, Math Inst, NL-3508 TA Utrecht, Netherlands
来源：
SEMINAIRE DE PROBABILITES XLI | 2008年 / 1934卷
关键词：
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
For spectrally negative Markov Additive Processes (MAPs) we generalize classical fluctuation identities developed in Zolotarev (1964), Takacs (1967), Bingham (1975), Suprun (1976), Emery (1973). Rogers (1990) and Bertoin (1997) which concern one and two sided exit problems for spectrally negative Levy processes.
引用
收藏
页码：121 / 135
页数：15
相关论文
共 50 条
  • [1] An optimal stopping problem for spectrally negative Markov additive processes
    Caglar, M.
    Kyprianou, A.
    Vardar-Acar, C.
    [J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2022, 150 : 1109 - 1138
  • [2] First passage of time-reversible spectrally negative Markov additive processes
    Ivanovs, Jevgenijs
    Mandjes, Michel
    [J]. OPERATIONS RESEARCH LETTERS, 2010, 38 (02) : 77 - 81
  • [3] Potential measures for spectrally negative Markov additive processes with applications in ruin theory
    Feng, Runhuan
    Shimizu, Yasutaka
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2014, 59 : 11 - 26
  • [4] On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
    Mata, Dante
    Moreno-Franco, Harold A.
    Noba, Kei
    Perez, Jose-Luis
    [J]. NONLINEAR ANALYSIS-HYBRID SYSTEMS, 2023, 48
  • [5] Stopping Levels for a Spectrally Negative Markov Additive Process
    Caglar, M.
    Vardar-Acar, C.
    [J]. COMMUNICATIONS IN MATHEMATICS AND STATISTICS, 2024,
  • [6] FLUCTUATION IDENTITIES FOR OMEGA-KILLED SPECTRALLY NEGATIVE MARKOV ADDITIVE PROCESSES AND DIVIDEND PROBLEM
    Czarna, Irmina
    Kaszubowski, Adam
    Li, Shu
    Palmowski, Zbigniew
    [J]. ADVANCES IN APPLIED PROBABILITY, 2020, 52 (02) : 404 - 432
  • [7] ON THE BAILOUT DIVIDEND PROBLEM FOR SPECTRALLY NEGATIVE MARKOV ADDITIVE MODELS
    Noba, Kei
    Perez, Jose-Luis
    Yu, Xiang
    [J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2020, 58 (02) : 1049 - 1076
  • [8] Fluctuations of Omega-killed spectrally negative Levy processes
    Li, Bo
    Palmowski, Zbigniew
    [J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018, 128 (10) : 3273 - 3299
  • [9] Cramér-Lundberg asymptotics for spectrally positive Markov additive processes
    van Kreveld, Lucas
    Mandjes, Michel
    Dorsman, Jan-Pieter
    [J]. SCANDINAVIAN ACTUARIAL JOURNAL, 2024, 2024 (06) : 561 - 582
  • [10] Spectrally negative Levy processes
    [J]. FLUCTUATION THEORY FOR LEVY PROCESSES, 2007, 1897 : 95 - 113
12345