کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156890 | 958890 | 2010 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Singularities of the matrix exponent of a Markov additive process with one-sided jumps
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We analyze the number of zeros of det(F(α))det(F(α)), where F(α)F(α) is the matrix exponent of a Markov Additive Process (MAP) with one-sided jumps. The focus is on the number of zeros in the right half of the complex plane, where F(α)F(α) is analytic. In addition, we also consider the case of a MAP killed at an independent exponential time. The corresponding zeros can be seen as the roots of a generalized Cramér–Lundberg equation. We argue that our results are particularly useful in fluctuation theory for MAPs, which leads to numerous applications in queueing theory and finance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 120, Issue 9, August 2010, Pages 1776–1794
Journal: Stochastic Processes and their Applications - Volume 120, Issue 9, August 2010, Pages 1776–1794
نویسندگان
Jevgenijs Ivanovs, Onno Boxma, Michel Mandjes,