eprintid: 10194365
rev_number: 14
eprint_status: archive
userid: 699
dir: disk0/10/19/43/65
datestamp: 2024-07-10 07:19:03
lastmod: 2024-12-02 15:29:44
status_changed: 2024-07-10 07:19:03
type: article
metadata_visibility: show
sword_depositor: 699
creators_name: Döring, Leif
creators_name: Trottner, Lukas
creators_name: Watson, Alexander R
title: Markov additive friendships
ispublished: pub
divisions: UCL
divisions: B04
divisions: C06
divisions: F61
note: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
abstract: 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.
date: 2024
date_type: published
official_url: https://doi.org/10.1090/tran/9266
oa_status: green
full_text_type: other
language: eng
primo: open
primo_central: open_green
verified: verified_manual
elements_id: 2293188
doi: 10.1090/tran/9266
lyricists_name: Watson, Alexander
lyricists_id: AWATS72
actors_name: Watson, Alexander
actors_id: AWATS72
actors_role: owner
full_text_status: public
publication: Transactions of the American Mathematical Society
volume: 377
pagerange: 7699-7752
citation:        Döring, Leif;    Trottner, Lukas;    Watson, Alexander R;      (2024)    Markov additive friendships.                   Transactions of the American Mathematical Society , 377    pp. 7699-7752.    10.1090/tran/9266 <https://doi.org/10.1090/tran%2F9266>.       Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/10194365/1/map_friends_rev.pdf