First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
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Publication:3535637
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Cited in
(52)- Exit times for a discrete Markov additive process
- Some characterizations for Markov processes at first passage
- A two-state neuronal model with alternating exponential excitation
- On the absolute ruin in a map risk model with debit interest
- A Markov additive risk process with a dividend barrier
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- Total Positivity of Markov Chains and the Failure Rate Character of Some First Passage Times
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- On a class of dependent Sparre Andersen risk models and a bailout application
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- A factorization of a Lévy process over a phase-type horizon
- The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
- The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates
- Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
- The maximum severity of ruin in a perturbed risk process with Markovian arrivals
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- The correlation function of a queue with Lévy and Markov additive input
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- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
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- The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
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