First Passage of a Markov Additive Process and Generalized Jordan Chains
نویسندگان
چکیده
منابع مشابه
First passage of time-reversible spectrally negative Markov additive processes
We study the first passage process of a spectrally-negative Markov additive process (MAP). The focus is on the background Markov chain at the times of the first passage. This process is a Markov chain itself with a transition rate matrix Λ. Assuming time-reversibility we show that all the eigenvalues of Λ are real with algebraic and geometric multiplicities being the same, which allows us to id...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2010
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s002190020000735x