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Fluctuations of spectrally negative Markov additive processes

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Séminaire de Probabilités XLI

Part of the book series: Lecture Notes in Mathematics ((SEMPROBAB,volume 1934))

Abstract

For spectrally negative Markov Additive Processes (MAPs) we generalize classical fluctuation identities developed in (1964), (1967), (1975), (1976), (1973), (1990) and (1997) which concern one and two sided exit problems for spectrally negative Lévy processes.

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Author information

Authors and Affiliations

  1. Department of Mathematical Sciences, The University of Bath, Claverton Down, Bath, UK

    Andreas E. Kyprianou

  2. Mathematical Institute, University of Wrocław, pl. Grunwaldzki 2/4, 50-384, Wrocław, Poland

    Zbigniew Palmowski

  3. Mathematical Institute, P.O. Box 80.010, 3508 TA, Utrecht, The Netherlands

    Zbigniew Palmowski

Authors
  1. Andreas E. Kyprianou
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  2. Zbigniew Palmowski
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Editor information

Editors and Affiliations

  1. Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, Boîte courrier I88 4, place Jussieu, 75252, Paris cedex 05, France

    Catherine Donati-Martin

  2. Institut de Recherche Mathématique Avancée, Université Louis Pasteur, 7, rue René Descartes, 67084, Strasbourg cedex, France

    Michel Émery

  3. Laboratoire de Mathématiques Bâtiment Fermat, Université Versailles-Saint-Quentin, 45, avenue des Etats-Unis, 78035, Versailles cedex, France

    Alain Rouault

  4. UFR Sciences et techniques, Université de Besançon, 16, route de Gray, 25030, Besançon cedex, France

    Christophe Stricker

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Kyprianou, A.E., Palmowski, Z. (2008). Fluctuations of spectrally negative Markov additive processes. In: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C. (eds) Séminaire de Probabilités XLI. Lecture Notes in Mathematics, vol 1934. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-77913-1_5

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