Kac–Lévy Processes
Markov-modulated Lévy processes with two different regimes of restarting are studied. These regimes correspond to the completely renewed process and to the process of Markov modulation, accompanied by jumps. We give explicit expressions for the Lévy–Khintchine exponent in the case of a two-state und...
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Springer
2020
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| Acceso en línea: | https://repository.urosario.edu.co/handle/10336/22481 https://doi.org/10.1007/s10959-018-0873-6 |
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ir-10336-224812021-06-11T04:08:17Z Kac–Lévy Processes Ratanov, Nikita Exponential functional Goldstein–Kac process Lévy–Khintchine exponent Lévy–Laplace exponent Markov-modulated Lévy process Markov-switching model Mixture of distributions Markov-modulated Lévy processes with two different regimes of restarting are studied. These regimes correspond to the completely renewed process and to the process of Markov modulation, accompanied by jumps. We give explicit expressions for the Lévy–Khintchine exponent in the case of a two-state underlying Markov chain. For the renewal case, the limit distributions (as t? ?) are obtained. In the case of processes with jumps, we present some results for the exponential functional. © 2018, Springer Science+Business Media, LLC, part of Springer Nature. 2020 2020-05-25T23:56:40Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 15729230 08949840 https://repository.urosario.edu.co/handle/10336/22481 https://doi.org/10.1007/s10959-018-0873-6 eng info:eu-repo/semantics/openAccess application/pdf Springer instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR |
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EdocUR - Universidad del Rosario |
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DSpace |
| language |
Inglés (English) |
| topic |
Exponential functional Goldstein–Kac process Lévy–Khintchine exponent Lévy–Laplace exponent Markov-modulated Lévy process Markov-switching model Mixture of distributions |
| spellingShingle |
Exponential functional Goldstein–Kac process Lévy–Khintchine exponent Lévy–Laplace exponent Markov-modulated Lévy process Markov-switching model Mixture of distributions Ratanov, Nikita Kac–Lévy Processes |
| description |
Markov-modulated Lévy processes with two different regimes of restarting are studied. These regimes correspond to the completely renewed process and to the process of Markov modulation, accompanied by jumps. We give explicit expressions for the Lévy–Khintchine exponent in the case of a two-state underlying Markov chain. For the renewal case, the limit distributions (as t? ?) are obtained. In the case of processes with jumps, we present some results for the exponential functional. © 2018, Springer Science+Business Media, LLC, part of Springer Nature. |
| format |
Artículo (Article) |
| author |
Ratanov, Nikita |
| author_facet |
Ratanov, Nikita |
| author_sort |
Ratanov, Nikita |
| title |
Kac–Lévy Processes |
| title_short |
Kac–Lévy Processes |
| title_full |
Kac–Lévy Processes |
| title_fullStr |
Kac–Lévy Processes |
| title_full_unstemmed |
Kac–Lévy Processes |
| title_sort |
kac–lévy processes |
| publisher |
Springer |
| publishDate |
2020 |
| url |
https://repository.urosario.edu.co/handle/10336/22481 https://doi.org/10.1007/s10959-018-0873-6 |
| _version_ |
1702626584554373120 |
| score |
12,111491 |