Kac-Lévy processes

DOI10.1007/S10959-018-0873-6zbMATH Open1431.60107arXiv1811.09484OpenAlexW2903548010MaRDI QIDQ2297322FDOQ2297322

Authors: Nikita Ratanov 

Publication date: 18 February 2020

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

Abstract: Markov-modulated L'evy processes with two different regimes of restarting are studied. These regimes correspond to the completely renewed process and to the process of Markov modulation, accompanied by jumps. We give explicit expressions for the L'evy-Khintchine exponent in the case of a two-state underlying Markov chain. For the renewal case, the limit distributions (as $toinfty$) are obtained. In the case of processes with jumps, we present some results for the exponential functional.

Full work available at URL: https://arxiv.org/abs/1811.09484

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zbMATH Keywords

exponential functionalmixture of distributionsMarkov-switching modelGoldstein-Kac processLévy-Khintchine exponentMarkov-modulated Lévy processLévy-Laplace exponent

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Continuous-time Markov processes on discrete state spaces (60J27) Jump processes on general state spaces (60J76)

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Cited In (6)

• First crossing times of telegraph processes with jumps
• Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals
• Kac's rescaling for jump-telegraph processes
• Bahadur-Kiefer-type processes
• Extrema of multi-dimensional Gaussian processes over random intervals
• Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment

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