First passage of time-reversible spectrally negative Markov additive processes

DOI10.1016/j.orl.2009.10.014zbMath1185.90201OpenAlexW2138896355MaRDI QIDQ969502

Jevgenijs Ivanovs, M. R. H. Mandjes

Publication date: 7 May 2010

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2009.10.014

zbMATH Keywords

queueingJordan normal formtime reversibilityMarkov additive processesfirst passage process

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Markov and semi-Markov decision processes (90C40)

Related Items

A ruin model with a resampled environment, Occupation densities in solving exit problems for Markov additive processes and their reflections, A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion, Singularities of the matrix exponent of a Markov additive process with one-sided jumps, Markov-Modulated Brownian Motion with Two Reflecting Barriers, First Passage of a Markov Additive Process and Generalized Jordan Chains, Fluctuation identities for Omega-killed spectrally negative Markov additive processes and dividend problem

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Extremes of Markov-additive processes with one-sided jumps, with queueing applications
• Markov-modulated queueing systems
• Singularities of the matrix exponent of a Markov additive process with one-sided jumps
• On the perturbation of analytic matrix functions
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• Introductory lectures on fluctuations of Lévy processes with applications.
• Russian and American put options under exponential phase-type Lévy models.
• Analysis of separable Markov-modulated rate models for information-handling systems
• Option Pricing With Markov-Modulated Dynamics
• Matrix Analysis
• Stationary distributions for fluid flow models with or without brownian noise
• A multi-dimensional martingale for Markov additive processes and its applications
• A Brownian motion with two reflecting barriers and Markov-modulated speed
• Applied Probability and Queues
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• Markov additive processes. I