On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain

DOI10.1090/tpms/1081zbMath1431.60126OpenAlexW3010062893MaRDI QIDQ5218376

É. V. Karnaukh, Dmytro Gusak

Publication date: 3 March 2020

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1081

zbMATH Keywords

lack of memoryalmost semicontinuous processes defined on Markov chainmain factorization identitypassage functionals for positive boundary

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Processes in random environments (60K37)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Gerber-Shiu risk theory
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• On the moment-generating functions of extrema and their complements for almost semicontinuous integer-valued Poisson processes on Markov chains
• Overshoots and undershoots of Lévy processes
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• A quintuple law for Markov additive processes with phase-type jumps
• First passage times of a jump diffusion process
• A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections
• Overshoot functionals for almost semi-continuous processes defined on a Markov chain
• Distributions of overshoots for almost continuous stochastic processes defined on a Markov chain
• Matrix factorization identity for almost semi-continuous processes on a Markov chain

This page was built for publication: On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain