Markov additive processes. I

From MaRDI portal
Publication:5646198

DOI10.1007/BF00532536zbMath0236.60047OpenAlexW3150430657MaRDI QIDQ5646198

Erhan Çinlar

Publication date: 1972

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00532536



Related Items

Markov additive processes and Perron-Frobenius eigenvalue inequalities, On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model, Ruin probabilities for risk process in a regime-switching environment, Extreme Value Analysis for a Markov Additive Process Driven by a Nonirreducible Background Chain, Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory, Deep factorisation of the stable process. II: Potentials and applications, Unnamed Item, An optimal stopping problem for spectrally negative Markov additive processes, A sojourn-based approach to semi-Markov reinforcement learning, Uniform observability of hidden Markov models and filter stability for unstable signals, The CRT is the scaling limit of random dissections, Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model, LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL, Exponential functionals of Markov additive processes, Semi-Markov approach to continuous time random walk limit processes, Markov additive processes. II, Markov additive processes for degradation with jumps under dynamic environments, A stochastic time scale based framework for system reliability under a Markovian dynamic environment, Lévy systems and the time value of ruin for Markov additive processes, Local limit theorem for a Markov additive process on with a null recurrent internal Markov chain, Stability of overshoots of Markov additive processes, Symmetric Wiener-Hopf factorisations in Markov additive processes, The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model, First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type, On intensities of perturbed random measures on Hausdorff spaces, Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes, Long-term average control of a continuous, monotone process, Markov solutions of stochastic differential equations, Extremes of Markov-additive processes with one-sided jumps, with queueing applications, First passage of time-reversible spectrally negative Markov additive processes, On invariant measures and dual excursions of Markov processes, The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach, A note on chaotic and predictable representations for Itô–Markov additive processes, Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation, Characterization of stochastic processes with conditionally independent increments, A Poisson Limit Theorem for Reliability Models Based on Markov Chains, Semimartingales and Markov processes, Additive Markov processes, Residual risks and hedging strategies in Markovian markets, On \(\mathbb{R}^d\)-valued multi-self-similar Markov processes, Stable Lévy processes in a cone, On the symmetric wiener-hopf factorization for markov additive processes, Excursions of Markov processes: An approach via Markov additive processes, A random measure model for the emission of pollutants by vehicles on a highway, [https://portal.mardi4nfdi.de/wiki/Publication:4768424 Syst�mes r�g�n�ratifs et processus semi-markoviens]



Cites Work