A note on Wiener-Hopf factorization for Markov additive processes
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Abstract: We prove the Wiener-Hopf factorization for Markov Additive processes. We derive also Spitzer-Rogozin theorem for this class of processes which serves for obtaining Kendall's formula and Fristedt representation of the cumulant matrix of the ladder epoch process. Finally, we also obtain the so-called ballot theorem.
This paper discusses Wiener-Hopf factorization for a class of Markov additive processes (MAPs). On one hand, MAPs play an important role in many application areas in applied probability, such as queues, insurance risk, finance and so forth; on the other hand, a MAP is a natural generization of a Lévy process. The authors give a short proof of the Wiener-Hopf factorization based on the Markov property and additivity, express the terms of the Wiener-Hopf factorization directly in terms of the basic data of the process, derive the Spitzer-Rogozin theorem and present the ballot theorem.
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