scientific article; zbMATH DE number 3610570

MaRDI QIDQ4176256zbMATH OpenFDO

Authors Bronius Grigelionis

Publication date 1978

zbMATH Keywords

Characterization of Markov Additive ProcessesMarkov Additive ProcessSemimartingal

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Markov processes (60J99)

Cited in

(6)

• Necessary and sufficient conditions for the convergence of semimartingales to processes with conditionally independent increments
• Lévy systems and the time value of ruin for Markov additive processes
• Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
• The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model

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