A note on Wiener-Hopf factorization for Markov additive processes

DOI10.1007/s10959-012-0425-4zbMath1305.60034arXiv0906.1223OpenAlexW1984661459MaRDI QIDQ457101

Zbigniew Palmowski, Przemysław Klusik

Publication date: 26 September 2014

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.1223

zbMATH Keywords

Wiener-Hopf factorizationLévy processMarkov additive process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Foundations of stochastic processes (60G05)

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Splitting and time reversal for Markov additive processes ⋮ Deep factorisation of the stable process. II: Potentials and applications ⋮ Exponential functionals of Markov additive processes ⋮ Persistence of sums of correlated increments and clustering in cellular automata ⋮ Entrance laws at the origin of self-similar Markov processes in high dimensions ⋮ A factorization of a Lévy process over a phase-type horizon ⋮ A quintuple law for Markov additive processes with phase-type jumps ⋮ The correlation function of a queue with Lévy and Markov additive input

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