Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon

DOI10.1016/J.SPA.2021.08.002zbMATH Open1479.60094arXiv2101.08076OpenAlexW3194615871WikidataQ115566889 ScholiaQ115566889MaRDI QIDQ2239255FDOQ2239255

Authors: Mogens Bladt, Jevgenijs Ivanovs 

Publication date: 3 November 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: There is an abundance of useful fluctuation identities for one-sided L'evy processes observed up to an independent exponentially distributed time horizon. We show that all the fundamental formulas generalize to time horizons having matrix exponential distributions, and the structure is preserved. Essentially, the positive killing rate is replaced by a matrix with eigenvalues in the right half of the complex plane which, in particular, applies to the positive root of the Laplace exponent and the scale function. Various fundamental properties of thus obtained matrices and functions are established, resulting in an easy to use toolkit. An important application concerns deterministic time horizons which can be well approximated by concentrated matrix exponential distributions. Numerical illustrations are also provided.

Full work available at URL: https://arxiv.org/abs/2101.08076

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zbMATH Keywords

scale functionWiener-Hopf factorizationfunctions of matricesrational Laplace transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

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Cited In (2)

• A note on \(r\)-balayages of matrix-exponential Lévy processes
• From PH/MAP to ME/RAP

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