scientific article; zbMATH DE number 868165

MaRDI QIDQ4874049zbMATH OpenFDO

Authors Bronius Grigelionis

Publication date 7 November 1996

zbMATH Keywords

extreme valuesadditive processesMarkovian environmentDoob-Esscher transforms

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Recommendations

• scientific article; zbMATH DE number 972632
• Exponential functionals of Markov additive processes
• scientific article; zbMATH DE number 775003
• Continuous-time Markov additive processes: Composition of large deviations principles and comparison between exponential rates of convergence

Cited in

(4)

• On mixed exponential processes and martingales
• Exponential functionals of Markov additive processes
• On statistical manifolds of solutions of martingale problems
• On the finiteness and tails of perpetuities under a Lamperti-Kiu map

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4874049)