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, which plays a crucial role in fluctuation theory. We show how to identify this matrix using the theory of Jordan chains associated with analytic matrix functions. This result provides us with a technique, which can be used to derive various further identities.

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Year of publication:	2010-10
Authors:	D'Auria, Bernardo ; Kella, Offer ; Ivanovs, Jevgenijs ; Mandjes, Michel
Institutions:	Departamento de Estadistica, Universidad Carlos III de Madrid
Subject:	Lévy processes \| Fluctuation theory \| Markov Additive Processes

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Extent:	application/pdf
Series:	Statistics and Econometrics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008672248