On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes

DOI10.1016/j.spa.2024.104382MaRDI QIDQ6570498

Anita Behme, Apostolos Sideris, Paolo Di Tella

Publication date: 10 July 2024

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

zbMATH Keywords

moments stationary process Lévy process exponential functional Markov switching model Markov additive process generalized Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27)

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