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

DOI10.1007/S11253-010-0334-6MaRDI QIDQ3076493zbMATH OpenOpenAlexFDO

Authors É. V. Karnaukh

Publication date 22 February 2011

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

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

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)

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.

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