First Passage of a Markov Additive Process and Generalized Jordan Chains (Q3067845): Difference between revisions

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-M. R. H. Mandjes
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+Stationary distributions for fluid flow models with or without brownian noise
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+Applied Probability and Queues
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+A multi-dimensional martingale for Markov additive processes and its applications
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+Loss Rates for Lévy Processes with Two Reflecting Barriers
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+Russian and American put options under exponential phase-type Lévy models.
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+Singularities of the matrix exponent of a Markov additive process with one-sided jumps
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+Option Pricing With Markov-Modulated Dynamics
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Markov-modulated queueing systems
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@@ Property / cites work @@
+Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
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@@ links / mardi / name / links / mardi / name @@
+Publication:3067845