Overshoot Functionals for Almost Semi-continuous Processes Defined on a Markov Chain
نویسنده
چکیده
The distribution of extrema and overjump functionals for the semi-continuous processes (processes that intersect positive or negative level continuously) on a Markov chain were considered by many authors( for instance, see [1] [3]). In the paper [4] the distribution of extrema for almost semi-continuous processes were treated (the processes that intersect positive or negative level by exponentially distributed jumps). Under some conditions these processes we can consider as surplus risk processes with stochastic premium function in a Markov environment. In the article the distribution of some overjump functionals for the almost semi-continuous processes defined on a Markov chain are considered. Consider a two-dimensional Markov process:
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