A note on Wiener-Hopf factorization for Markov additive processes (Q457101)
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English | A note on Wiener-Hopf factorization for Markov additive processes |
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A note on Wiener-Hopf factorization for Markov additive processes (English)
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26 September 2014
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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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Lévy process
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Markov additive process
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Wiener-Hopf factorization
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