Markov Processes with Homogeneous Second Component. I

DOI10.1137/1114001zbMATH Open0281.60067OpenAlexW2021312207MaRDI QIDQ4766342FDOQ4766342

Authors: I. I. Ezhov, Anatolii V. Skorokhod 

Publication date: 1969

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1114001

Mathematics Subject Classification ID

Markov processes (60Jxx)

Cited In (13)

• Distributions of overshoots for almost continuous stochastic processes defined on a Markov chain
• Markov additive processes. I
• Markov additive processes. II
• Semi-Markov processes and their applications
• Local risk-minimization under Markov-modulated exponential Lévy model
• On \(\mathbb{R}^d\)-valued multi-self-similar Markov processes
• The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
• Title not available (Why is that?)
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
• On Markovian modelling of arrival processes
• Spanning tree generating functions for infinite periodic graphs L and connections with simple closed random walks on L
• Distribution of the exit time and value for homogeneous processes with independent increments given on a finite Markov chain
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type

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