Behaviour of an almost semicontinuous Poisson process on a Markov chain upon attainment of a level

DOI10.1007/S11253-010-0334-6zbMATH Open1224.60105arXiv1107.1838OpenAlexW2121940089MaRDI QIDQ3076493FDOQ3076493

Authors: É. V. Karnaukh 

Publication date: 22 February 2011

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Abstract: We consider the almost semi-continuous processes defined on a finite Markov chain. The representation of the moment generating functions for the absolute maximum after achievement positive level and for the recovery time are obtained. Modified processes with two-step rate of negative jumps are investigated.

Full work available at URL: https://arxiv.org/abs/1107.1838

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zbMATH Keywords

Markov chainabsolute maximumsemicontinuous Poisson process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cited In (6)

• Moment generating functions of extremums and their complements for upper semi-continuous lattice Poisson process on Markov chain
• Distributions of overshoots for almost continuous stochastic processes defined on a Markov chain
• Title not available (Why is that?)
• Two-limit problems for almost semicontinuous processes defined on a Markov chain
• The distribution of overshoots for the almost semi-continuous processes defined on a Markov chain.
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