Search Results - subject:"Markov additive processes"

Optimal portfolio selection in an Itô-Markov additive market

Palmowski, Zbigniew; Stettner, Łukasz; Sulima, Anna - In: Risks 7 (2019) 1, pp. 1-13

described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into …

Persistent link: https://www.econbiz.de/10013200452

Optimal portfolio selection in an Itô-Markov additive market

Palmowski, Zbigniew; Stettner, Łukasz; Sulima, Anna - In: Risks : open access journal 7 (2019) 1/34, pp. 1-13

described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into …

Persistent link: https://www.econbiz.de/10012015778

First passage of a Markov additive process and generalized Jordan chains

D'Auria, Bernardo; Kella, Offer; Ivanovs, Jevgenijs; … - Departamento de Estadistica, Universidad Carlos III de … - 2010

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...

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