First passage of time-reversible spectrally negative Markov additive processes
نویسندگان
چکیده
منابع مشابه
First passage of time-reversible spectrally negative Markov additive processes
We study the first passage process of a spectrally-negative Markov additive process (MAP). The focus is on the background Markov chain at the times of the first passage. This process is a Markov chain itself with a transition rate matrix Λ. Assuming time-reversibility we show that all the eigenvalues of Λ are real with algebraic and geometric multiplicities being the same, which allows us to id...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2010
ISSN: 0167-6377
DOI: 10.1016/j.orl.2009.10.014