Abstract
For spectrally negative Markov Additive Processes (MAPs) we generalize classical fluctuation identities developed in (1964), (1967), (1975), (1976), (1973), (1990) and (1997) which concern one and two sided exit problems for spectrally negative Lévy processes. © 2008 Springer-Verlag Berlin Heidelberg.
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CITATION STYLE
APA
Kyprianou, A. E., & Palmowski, Z. (2008). Fluctuations of spectrally negative Markov additive processes. In Lecture Notes in Mathematics (Vol. 1934, pp. 121–135). Springer Verlag. https://doi.org/10.1007/978-3-540-77913-1_5
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