First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type

DOI10.1239/JAP/1222441829zbMATH Open1156.60059OpenAlexW2071487344MaRDI QIDQ3535637FDOQ3535637

Lothar Breuer

Publication date: 13 November 2008

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

Full work available at URL: https://doi.org/10.1239/jap/1222441829

zbMATH Keywords

first passage timeMarkov additive processLevy processreflected process

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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Cited In (47)

• Exit times for a discrete Markov additive process
• Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
• Exit Problems for Reflected Markov-Modulated Brownian Motion
• Randomization and the valuation of guaranteed minimum death benefits
• Occupation times for Markov-modulated Brownian motion
• Lévy Processes, Phase-Type Distributions, and Martingales
• Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
• The Markov additive risk process under an Erlangized dividend barrier strategy
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• On a class of stochastic models with two-sided jumps
• Total Positivity of Markov Chains and the Failure Rate Character of Some First Passage Times
• On barrier option pricing by Erlangization in a regime-switching model with jumps
• Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier
• An optimal stopping problem for spectrally negative Markov additive processes
• On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
• A note on Wiener-Hopf factorization for Markov additive processes
• On a class of dependent Sparre Andersen risk models and a bailout application
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• Pricing external barrier options in a regime-switching model
• Lévy systems and the time value of ruin for Markov additive processes
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
• Some characterizations for Markov processes at first passage
• Two-Sided Reflection of Markov-Modulated Brownian Motion
• The correlation function of a queue with Lévy and Markov additive input
• A two-state neuronal model with alternating exponential excitation
• Threshold dividend strategies for a Markov-additive risk model
• Fluid approach to two-sided reflected Markov-modulated Brownian motion
• The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
• Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
• Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
• The maximum severity of ruin in a perturbed risk process with Markovian arrivals
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
• First Passage of a Markov Additive Process and Generalized Jordan Chains
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• A series expansion formula of the scale matrix with applications in CUSUM analysis
• On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain
• A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections
• Markov-Modulated Brownian Motion with Two Reflecting Barriers

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