A series expansion formula of the scale matrix with applications in CUSUM analysis

DOI10.1016/j.spa.2024.104300arXiv2109.03361WikidataQ129807952 ScholiaQ129807952MaRDI QIDQ6123282

Kazutoshi Yamazaki, Jevgenijs Ivanovs

Publication date: 4 March 2024

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

Full work available at URL: https://arxiv.org/abs/2109.03361

zbMATH Keywords

Lévy processesCUSUMhidden Markov modelsphase-type distributionsMarkov additive processesscale matrices

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Stopping times; optimal stopping problems; gambling theory (60G40)

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