[HTML][HTML] Occupation densities in solving exit problems for Markov additive processes and their reflections
This paper solves exit problems for spectrally negative Markov additive processes and their
reflections. So-called scale matrix, which is a generalization of the scale function of a …
reflections. So-called scale matrix, which is a generalization of the scale function of a …
First passage of a Markov additive process and generalized Jordan chains
In this paper we consider the first passage process of a spectrally negative Markov additive
process (MAP). The law of this process is uniquely characterized by a certain matrix function …
process (MAP). The law of this process is uniquely characterized by a certain matrix function …
[BOOK][B] One-sided Markov additive processes and related exit problems
J Ivanovs - 2011 - dare.uva.nl
The Compound Poisson Process (CPP) is one of the most basic and popular models in
applied probability. It can represent a workload arrival process, where customers (or …
applied probability. It can represent a workload arrival process, where customers (or …
Markov-modulated Brownian motion with two reflecting barriers
J Ivanovs - Journal of Applied Probability, 2010 - cambridge.org
We consider a Markov-modulated Brownian motion reflected to stay in a strip [0, B]. The
stationary distribution of this process is known to have a simple form under some …
stationary distribution of this process is known to have a simple form under some …
[HTML][HTML] Singularities of the matrix exponent of a Markov additive process with one-sided jumps
We analyze the number of zeros of det (F (α)), where F (α) is the matrix exponent of a Markov
Additive Process (MAP) with one-sided jumps. The focus is on the number of zeros in the …
Additive Process (MAP) with one-sided jumps. The focus is on the number of zeros in the …
A ruin model with a resampled environment
This paper considers a Cramér–Lundberg risk setting, where the components of the
underlying model change over time. We allow the more general setting of the cumulative …
underlying model change over time. We allow the more general setting of the cumulative …
Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem
In this paper, we solve exit problems for a one-sided Markov additive process (MAP) which
is exponentially killed with a bivariate killing intensity dependent on the present level of the …
is exponentially killed with a bivariate killing intensity dependent on the present level of the …
A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
S Ahn, V Ramaswami - Stochastic Models, 2017 - Taylor & Francis
ABSTRACT A Markov-modulated Brownian motion (MMBM) is a substantial generalization
of the classical Brownian Motion and is obtained by allowing the Brownian parameters to be …
of the classical Brownian Motion and is obtained by allowing the Brownian parameters to be …
Omega bankruptcy for different Lévy models
A Kaszubowski - Śląski Przegląd Statystyczny, 2019 - cejsh.icm.edu.pl
In this paper, we consider the so-called Omega bankruptcy model, which can be seen as an
alternative to the classical approach to ruin. In contrast to the classical model, we allow the …
alternative to the classical approach to ruin. In contrast to the classical model, we allow the …
Fluctuation identities for omega-killed Markov additive processes and dividend problem
In this paper we solve the exit problems for an one-sided Markov additive process (MAP)
which is exponentially killed with a bivariate killing intensity $\omega (\cdot,\cdot) …
which is exponentially killed with a bivariate killing intensity $\omega (\cdot,\cdot) …