scientific article; zbMATH DE number 2217836

zbMath1073.60523MaRDI QIDQ5699574

Martijn R. Pistorius, Miguel A. Usábel, Florin Avram

Publication date: 26 October 2005

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

phase-type distributiontwo sided exit problemWiener-Hopf factorization of matrices

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application ⋮ Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains ⋮ On special representations of automorphisms of \(\sigma\)-finite measure spaces using Poincaré recurrence theorem and Hopf decomposition ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ The tax identity for Markov additive risk processes ⋮ First-passage times of regime switching models ⋮ On the threshold dividend strategy for a generalized jump-diffusion risk model ⋮ Escape probabilities from an interval for compound Poisson processes with drift

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