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A process \((X,J)\) is called a Markov additive process if \(J\) is a finite-state continuous-time Markov chain, \(X\) evolves as a Lévy process \(X_i\) while \(J=i\), and a transition of \(J\) from state \(i\) to state \(j \neq i\) triggers a jump of \(X\) distributed as \(U_{i,j}\). Moreover, these components are independent. One can say that \(J\) is a background process representing a random Markovian environment for the additive component \(X\). The above process is called spectrally negative if \(X\) has no positive jumps and each \(U_{i,j} \leq 0\), but the paths of \(X\) are not a.s. non-increasing. The first passage-time of \(X\) over the level \(\pm x\) \((x \geq 0)\) is \[ \tau_x^{\pm} := \inf\{t \geq 0 : \pm X(t) > x\} . \] A main result of the paper is that \[ \operatorname{P}[\tau_a^+ < \tau_b^-, J(\tau_a^+) ] =W(b) W(a+b)^{-1} \qquad (a,b \geq 0,\;a+b > 0), \] where \(W(x)\) is the scale matrix of the process, a generalization of the scale function of a spectrally negative Lévy process. (Here, \(\operatorname{P}[A, J(\tau)]\) denotes a matrix with \((i,j)\)-th element \(\operatorname{P}_{J(0)=i}[A, J(\tau)=j]\).) In addition, a new explicit formula is given for the scale matrix, i.e., \[ W(x) = e^{-\Lambda x} \mathbf{L}(x), \] where \(\Lambda\) is the transition rate matrix of the Markov chain \(J(\tau_x^+)\): \(e^{\Lambda x} = \mathrm{L\'evy}{P}[J(\tau_x^+)]\) and \(\mathbf{L}(x)\) is the matrix of expected local times at \(0\) up to the first passage-time \(\tau_x^+\). Related results are given for reflected versions of the process as well. | |||
Property / review text: A process \((X,J)\) is called a Markov additive process if \(J\) is a finite-state continuous-time Markov chain, \(X\) evolves as a Lévy process \(X_i\) while \(J=i\), and a transition of \(J\) from state \(i\) to state \(j \neq i\) triggers a jump of \(X\) distributed as \(U_{i,j}\). Moreover, these components are independent. One can say that \(J\) is a background process representing a random Markovian environment for the additive component \(X\). The above process is called spectrally negative if \(X\) has no positive jumps and each \(U_{i,j} \leq 0\), but the paths of \(X\) are not a.s. non-increasing. The first passage-time of \(X\) over the level \(\pm x\) \((x \geq 0)\) is \[ \tau_x^{\pm} := \inf\{t \geq 0 : \pm X(t) > x\} . \] A main result of the paper is that \[ \operatorname{P}[\tau_a^+ < \tau_b^-, J(\tau_a^+) ] =W(b) W(a+b)^{-1} \qquad (a,b \geq 0,\;a+b > 0), \] where \(W(x)\) is the scale matrix of the process, a generalization of the scale function of a spectrally negative Lévy process. (Here, \(\operatorname{P}[A, J(\tau)]\) denotes a matrix with \((i,j)\)-th element \(\operatorname{P}_{J(0)=i}[A, J(\tau)=j]\).) In addition, a new explicit formula is given for the scale matrix, i.e., \[ W(x) = e^{-\Lambda x} \mathbf{L}(x), \] where \(\Lambda\) is the transition rate matrix of the Markov chain \(J(\tau_x^+)\): \(e^{\Lambda x} = \mathrm{L\'evy}{P}[J(\tau_x^+)]\) and \(\mathbf{L}(x)\) is the matrix of expected local times at \(0\) up to the first passage-time \(\tau_x^+\). Related results are given for reflected versions of the process as well. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Tamas Szabados / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J28 / rank | |||
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Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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Property / Mathematics Subject Classification ID: 60J55 / rank | |||
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Property / Mathematics Subject Classification ID: 60K37 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6065652 / rank | |||
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Property / zbMATH Keywords | |||
Markov additive process | |||
Property / zbMATH Keywords: Markov additive process / rank | |||
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Lévy process | |||
Property / zbMATH Keywords: Lévy process / rank | |||
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scale matrix | |||
Property / zbMATH Keywords: scale matrix / rank | |||
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local time | |||
Property / zbMATH Keywords: local time / rank | |||
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exit times | |||
Property / zbMATH Keywords: exit times / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID: W2139836955 / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1110.3811 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 14:06, 5 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Occupation densities in solving exit problems for Markov additive processes and their reflections |
scientific article |
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Occupation densities in solving exit problems for Markov additive processes and their reflections (English)
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14 August 2012
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A process \((X,J)\) is called a Markov additive process if \(J\) is a finite-state continuous-time Markov chain, \(X\) evolves as a Lévy process \(X_i\) while \(J=i\), and a transition of \(J\) from state \(i\) to state \(j \neq i\) triggers a jump of \(X\) distributed as \(U_{i,j}\). Moreover, these components are independent. One can say that \(J\) is a background process representing a random Markovian environment for the additive component \(X\). The above process is called spectrally negative if \(X\) has no positive jumps and each \(U_{i,j} \leq 0\), but the paths of \(X\) are not a.s. non-increasing. The first passage-time of \(X\) over the level \(\pm x\) \((x \geq 0)\) is \[ \tau_x^{\pm} := \inf\{t \geq 0 : \pm X(t) > x\} . \] A main result of the paper is that \[ \operatorname{P}[\tau_a^+ < \tau_b^-, J(\tau_a^+) ] =W(b) W(a+b)^{-1} \qquad (a,b \geq 0,\;a+b > 0), \] where \(W(x)\) is the scale matrix of the process, a generalization of the scale function of a spectrally negative Lévy process. (Here, \(\operatorname{P}[A, J(\tau)]\) denotes a matrix with \((i,j)\)-th element \(\operatorname{P}_{J(0)=i}[A, J(\tau)=j]\).) In addition, a new explicit formula is given for the scale matrix, i.e., \[ W(x) = e^{-\Lambda x} \mathbf{L}(x), \] where \(\Lambda\) is the transition rate matrix of the Markov chain \(J(\tau_x^+)\): \(e^{\Lambda x} = \mathrm{L\'evy}{P}[J(\tau_x^+)]\) and \(\mathbf{L}(x)\) is the matrix of expected local times at \(0\) up to the first passage-time \(\tau_x^+\). Related results are given for reflected versions of the process as well.
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Markov additive process
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Lévy process
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scale matrix
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local time
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exit times
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