Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
Probability
2013-09-20 v1
Abstract
Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and non-defective processes and all possible scenarios we identify the corresponding potential measures, which generalizes a number of results for one-sided Levy processes. The resulting rather neat formulas have various applications, and in particular they lead to quasi-stationary distributions of the corresponding processes.
Keywords
Cite
@article{arxiv.1309.4987,
title = {Potential measures of one-sided Markov additive processes with reflecting and terminating barriers},
author = {Jevgenijs Ivanovs},
journal= {arXiv preprint arXiv:1309.4987},
year = {2013}
}