Occupation times for Markov-modulated Brownian motion

DOI10.1239/JAP/1339878804MaRDI QIDQ2897162zbMATH OpenOpenAlexFDO

Authors Lothar Breuer

Publication date 8 July 2012

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1339878804

zbMATH Keywords

Markov additive processMarkov-modulated Brownian motionoccupation time-scale function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)

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Cites work

• scientific article; zbMATH DE number 1989717 (Why is no real title available?)
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• Applied Probability and Queues
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
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• Introductory lectures on fluctuations of Lévy processes with applications.
• Markov-modulated Brownian motion with two reflecting barriers
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• On the Time Value of Ruin
• Optimal Dividends
• Russian and American put options under exponential phase-type Lévy models.
• Stationary distributions for fluid flow models with or without brownian noise
• Two-sided reflection of Markov-modulated Brownian motion

Cited in

(21)

• Markov-modulated Brownian motions perturbed by catastrophes
• Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
• An occupation time related potential measure for diffusion processes
• Occupation times in the MAP risk model
• Occupation times for critical branching Brownian motions
• Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: formulas driven by the minimal solution matrix of a Riccati equation
• The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates
• Occupation time densities for stable-like processes and other pure jump Markov processes
• Lévy processes, phase-type distributions, and martingales
• Occupation times for spectrally negative Lévy processes on the last exit time
• Statistics of the occupation time for a class of Gaussian Markov processes
• The tax identity for Markov additive risk processes
• Occupation time problems for fractional Brownian motion and some other self-similar processes
• A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model
• Modelling large timescale and small timescale service variability
• Occupation times of discrete-time fractional Brownian motion
• Occupation times and Bessel densities
• Occupation times of alternating renewal processes with Lévy applications
• Exit problems for reflected Markov-modulated Brownian motion

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