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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Autores:

Tipo de recurso:

Fecha de publicación:

2020

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/22481

Acceso en línea:

https://doi.org/10.1007/s10959-018-0873-6
https://repository.urosario.edu.co/handle/10336/22481

Palabra clave:

Exponential functional
Goldstein–Kac process
Lévy–Khintchine exponent
Lévy–Laplace exponent
Markov-modulated Lévy process
Markov-switching model
Mixture of distributions

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