First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type

DOI10.1239/jap/1222441829zbMath1156.60059MaRDI QIDQ3535637

Lothar Breuer

Publication date: 13 November 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1222441829

zbMATH Keywords

first passage time; reflected process; Levy process; Markov additive process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60J25: Continuous-time Markov processes on general state spaces

60J55: Local time and additive functionals

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