TY  - JOUR
SP  - 7699
VL  - 377
N1  - This version is the author accepted manuscript. For information on re-use, please refer to the publisher?s terms and conditions.
JF  - Transactions of the American Mathematical Society
A1  - Döring, Leif
A1  - Trottner, Lukas
A1  - Watson, Alexander R
AV  - public
Y1  - 2024///
TI  - Markov additive friendships
UR  - https://doi.org/10.1090/tran/9266
EP  - 7752
ID  - discovery10194365
N2  - The Wiener?Hopf factorisation of a Lévy or Markov additive process describes the way that it attains new extrema in terms of a pair of so-called ladder height processes. Vigon?s theory of friendship for Lévy processes addresses the inverse problem: when does a process exist which has certain prescribed ladder height processes? We give a complete answer to this problem for Markov additive processes, provide simpler sufficient conditions for constructing processes using friendship, and address in part the question of the uniqueness of the Wiener?Hopf factorisation for Markov additive processes.
ER  -