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December 2014 Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
Jevgenijs Ivanovs
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J. Appl. Probab. 51(4): 1154-1170 (December 2014).

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 nondefective processes, and all possible scenarios, we identify the corresponding potential measures, which help to generalize a number of results for one-sided Lévy processes. The resulting rather neat formulae have various applications in risk and queueing theories, and, in particular, they lead to quasistationary distributions of the corresponding processes.

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Jevgenijs Ivanovs. "Potential measures of one-sided Markov additive processes with reflecting and terminating barriers." J. Appl. Probab. 51 (4) 1154 - 1170, December 2014.

Information

Published: December 2014
First available in Project Euclid: 20 January 2015

zbMATH: 1333.60166
MathSciNet: MR3301294

Subjects:
Primary: 60G51
Secondary: 60J25

Rights: Copyright © 2014 Applied Probability Trust

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Vol.51 • No. 4 • December 2014
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