The Resolvent and Expected Local Times for Markov-Modulated Brownian Motion with Phase-Dependent Termination Rates

DOI10.1239/jap/1371648951zbMath1270.60078OpenAlexW2117254935MaRDI QIDQ5299568

Lothar Breuer

Publication date: 26 June 2013

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1371648951

zbMATH Keywords

resolventlocal timeMarkov-modulated Brownian motionMarkov-additive process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)

Related Items (2)

Markov-modulated Brownian motions perturbed by catastrophes ⋮ Potential measures of one-sided Markov additive processes with reflecting and terminating barriers

Cites Work

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• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• Randomized observation periods for the compound Poisson risk model: Dividends
• Exit Problems for Reflected Markov-Modulated Brownian Motion
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• Applied Probability and Queues

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