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.
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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.
| Type: | Article |
|---|---|
| Title: | Markov additive friendships |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1090/tran/9266 |
| Publisher version: | https://doi.org/10.1090/tran/9266 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10194365 |
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