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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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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spelling 3203526002020-05-25T23:56:40Z2020-05-25T23:56:40Z2020Markov-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 underlying Markov chain. For the renewal case, the limit distributions (as t? ?) are obtained. In the case of processes with jumps, we present some results for the exponential functional. © 2018, Springer Science+Business Media, LLC, part of Springer Nature.application/pdfhttps://doi.org/10.1007/s10959-018-0873-61572923008949840https://repository.urosario.edu.co/handle/10336/22481engSpringer267No. 1239Journal of Theoretical ProbabilityVol. 33Journal of Theoretical Probability, ISSN:15729230, 08949840, Vol.33, No.1 (2020); pp. 239-267https://www.scopus.com/inward/record.uri?eid=2-s2.0-85057604757&doi=10.1007%2fs10959-018-0873-6&partnerID=40&md5=755dd868d7f7cce0b50f8bc53026bd76Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURExponential functionalGoldstein–Kac processLévy–Khintchine exponentLévy–Laplace exponentMarkov-modulated Lévy processMarkov-switching modelMixture of distributionsKac–Lévy ProcessesarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Ratanov, NikitaORIGINALRatanov2020_Article_KacLevyProcesses.pdfapplication/pdf678486https://repository.urosario.edu.co/bitstreams/d1a0bde5-54b3-4898-b301-1ce0aac5ce4d/download80cc64dcb6887b0af971f66495248ad4MD51TEXTRatanov2020_Article_KacLevyProcesses.pdf.txtRatanov2020_Article_KacLevyProcesses.pdf.txtExtracted texttext/plain50946https://repository.urosario.edu.co/bitstreams/96c1ec6d-b6e9-4fe7-96e3-c3cc41e0a2ea/download266efca568c2cdbdf75f459646bf0b70MD52THUMBNAILRatanov2020_Article_KacLevyProcesses.pdf.jpgRatanov2020_Article_KacLevyProcesses.pdf.jpgGenerated Thumbnailimage/jpeg3788https://repository.urosario.edu.co/bitstreams/b566fc6c-a51b-49a4-ae4e-a1e0415b94a6/download479798fdac57e008bcfb38b1d7f1f77eMD5310336/22481oai:repository.urosario.edu.co:10336/224812021-06-10 23:08:17.48https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Kac–Lévy Processes
title Kac–Lévy Processes
spellingShingle Kac–Lévy Processes
Exponential functional
Goldstein–Kac process
Lévy–Khintchine exponent
Lévy–Laplace exponent
Markov-modulated Lévy process
Markov-switching model
Mixture of distributions
title_short Kac–Lévy Processes
title_full Kac–Lévy Processes
title_fullStr Kac–Lévy Processes
title_full_unstemmed Kac–Lévy Processes
title_sort Kac–Lévy Processes
dc.subject.keyword.spa.fl_str_mv Exponential functional
Goldstein–Kac process
Lévy–Khintchine exponent
Lévy–Laplace exponent
Markov-modulated Lévy process
Markov-switching model
Mixture of distributions
topic Exponential functional
Goldstein–Kac process
Lévy–Khintchine exponent
Lévy–Laplace exponent
Markov-modulated Lévy process
Markov-switching model
Mixture of distributions
description 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 underlying Markov chain. For the renewal case, the limit distributions (as t? ?) are obtained. In the case of processes with jumps, we present some results for the exponential functional. © 2018, Springer Science+Business Media, LLC, part of Springer Nature.
publishDate 2020
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dc.date.available.none.fl_str_mv 2020-05-25T23:56:40Z
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dc.identifier.issn.none.fl_str_mv 15729230
08949840
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url https://doi.org/10.1007/s10959-018-0873-6
https://repository.urosario.edu.co/handle/10336/22481
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08949840
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dc.relation.citationIssue.none.fl_str_mv No. 1
dc.relation.citationStartPage.none.fl_str_mv 239
dc.relation.citationTitle.none.fl_str_mv Journal of Theoretical Probability
dc.relation.citationVolume.none.fl_str_mv Vol. 33
dc.relation.ispartof.spa.fl_str_mv Journal of Theoretical Probability, ISSN:15729230, 08949840, Vol.33, No.1 (2020); pp. 239-267
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