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

Details

Serval ID
serval:BIB_4568210FA96C
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Potential Measures of One-Sided Markov Additive Processes with Reflecting and Terminating Barriers
Journal
Journal of Applied Probability
Author(s)
Ivanovs J.
ISSN
0021-9002
1475-6072
Publication state
Published
Issued date
12/2014
Peer-reviewed
Oui
Volume
51
Number
04
Pages
1154-1170
Language
english
Abstract
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.
Keywords
Statistics, Probability and Uncertainty, Statistics and Probability, General Mathematics
Create date
13/02/2014 15:53
Last modification date
21/08/2019 6:11
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