Singularities of the matrix exponent of a Markov additive process with one-sided jumps

DOI10.1016/j.spa.2010.05.007zbMath1197.60074OpenAlexW2052901925MaRDI QIDQ988682

Jevgenijs Ivanovs, M. R. H. Mandjes, Onno J. Boxma

Publication date: 18 August 2010

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

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/singularities-of-the-matrix-exponent-of-a-markov-additive-process-with-onesided-jumps(38dcf062-f74a-483f-be6a-57377aa48cf6).html

zbMATH Keywords

Lévy processesqueueing theoryargument principleMarkov modulationMarkov additive processesfirst passageroots of Cramér-Lundberg equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Extreme Value Analysis for a Markov Additive Process Driven by a Nonirreducible Background Chain, A note on a discrete time MAP risk model, Estimation of the workload correlation in a Markov fluid queue, Lévy Processes, Phase-Type Distributions, and Martingales, Occupation times for the finite buffer fluid queue with phase-type ON-times, Stability of overshoots of Markov additive processes, The maximum severity of ruin in a perturbed risk process with Markovian arrivals, A note on Wiener-Hopf factorization for Markov additive processes, First passage of time-reversible spectrally negative Markov additive processes, First Passage of a Markov Additive Process and Generalized Jordan Chains, Potential measures for spectrally negative Markov additive processes with applications in ruin theory, Heavy-traffic asymptotics for networks of parallel queues with Markov-modulated service speeds

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Extremes of Markov-additive processes with one-sided jumps, with queueing applications
• On the probability of ruin in a Markov-modulated risk model
• A fluid model for a relay node in an ad hoc network: Evaluation of resource sharing policies
• First passage of time-reversible spectrally negative Markov additive processes
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• On the application of Rouché's theorem in queueing theory
• Introductory lectures on fluctuations of Lévy processes with applications.
• Russian and American put options under exponential phase-type Lévy models.
• The Queue M|G|1 with Markov Modulated Arrivals and Services
• On a Preemptive Markovian Queue with Multiple Servers and Two Priority Classes
• Stationary distributions for fluid flow models with or without brownian noise
• A multi-dimensional martingale for Markov additive processes and its applications
• FLUID MODELS WITH JUMPS
• Applied Probability and Queues
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• Loss Rates for Lévy Processes with Two Reflecting Barriers
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• An Elementary Queueing Problem
• Markov-modulated feedforward fluid networks