Exponential functionals of Markov additive processes
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Publication:2184596
DOI10.1214/20-EJP441zbMath1468.60069arXiv1911.03168OpenAlexW3013844588WikidataQ115517697 ScholiaQ115517697MaRDI QIDQ2184596
Anita Behme, Apostolos Sideris
Publication date: 29 May 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.03168
Lévy processexponential functionalMarkov switching modelMarkov additive processMarkov modulated perpetuity
Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Jump processes on discrete state spaces (60J74)
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