Potential Measures of One-Sided Markov Additive Processes with Reflecting and Terminating Barriers

Détails

ID Serval
serval:BIB_4568210FA96C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Potential Measures of One-Sided Markov Additive Processes with Reflecting and Terminating Barriers
Périodique
Journal of Applied Probability
Auteur⸱e⸱s
Ivanovs J.
ISSN
0021-9002
1475-6072
Statut éditorial
Publié
Date de publication
12/2014
Peer-reviewed
Oui
Volume
51
Numéro
04
Pages
1154-1170
Langue
anglais
Résumé
Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and nondefective processes, and all possible scenarios, we identify the corresponding potential measures, which help to generalize a number of results for one-sided Lévy processes. The resulting rather neat formulae have various applications in risk and queueing theories, and, in particular, they lead to quasistationary distributions of the corresponding processes.
Mots-clé
Statistics, Probability and Uncertainty, Statistics and Probability, General Mathematics
Création de la notice
13/02/2014 15:53
Dernière modification de la notice
21/08/2019 6:11
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