Singularities of the matrix exponent of a Markov additive process with one-sided jumps
نویسندگان
چکیده
منابع مشابه
Extremes of Markov-additive Processes with One-sided Jumps, with Queueing Applications
Through Laplace transforms, we study the extremes of a continuoustime Markov-additive process with one-sided jumps and a finite-state background Markovian state-space, jointly with the epoch at which the extreme is ‘attained’. For this, we investigate discrete-time Markov-additive processes and use an embedding to relate these to the continuous-time setting. The resulting Laplace transforms are...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2010
ISSN: 0304-4149
DOI: 10.1016/j.spa.2010.05.007