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.
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页码：121 / 135
页数：15
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