On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes

DOI10.1016/J.SPA.2024.104382MaRDI QIDQ6570498zbMATH OpenFDO

Authors Anita Behme, P. Di Tella, Apostolos Sideris

Publication date 10 July 2024

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2024.104382

zbMATH Keywords

exponential functionalgeneralized Ornstein-Uhlenbeck processLévy processMarkov additive processMarkov switching modelmomentsstationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited in

(1)

• Volatility modelling in a Markov-switching environment: two Ornstein-Uhlenbeck-related approaches

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