A factorization of a Lévy process over a phase-type horizon

DOI10.1080/15326349.2018.1513335zbMath1411.60068arXiv1803.00273OpenAlexW2963422501MaRDI QIDQ4634188

Jevgenijs Ivanovs, Soren Asmussen

Publication date: 7 May 2019

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.00273

zbMATH Keywords

phase-type distributionsplittingWiener-Hopf factorizationtime reversal

Mathematics Subject Classification ID

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

Related Items (7)

Extreme Value Analysis for a Markov Additive Process Driven by a Nonirreducible Background Chain ⋮ Moments and polynomial expansions in discrete matrix-analytic models ⋮ From PH/MAP to ME/RAP ⋮ Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps ⋮ A decomposition for Lévy processes inspected at Poisson moments ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon

Uses Software

• EMpht

Cites Work

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