Exponential functionals of Markov additive processes

被引：6

作者：

Behme, Anita ^{[1
]}

Sideris, Apostolos ^{[1
]}

机构：

[1] Tech Univ Dresden, Dresden, Germany

来源：

ELECTRONIC JOURNAL OF PROBABILITY | 2020年 / 25卷

关键词：

exponential functional; Levy process; Markov additive process; Markov modulated perpetuity; Markov switching model; LEVY; FACTORIZATION; STATIONARITY; STABILITY;

D O I：

10.1214/20-EJP441

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We provide necessary and sufficient conditions for convergence of exponential integrals of Markov additive processes. By contrast with the classical Levy case studied by Erickson and Maller we have to distinguish between almost sure convergence and convergence in probability. Our proofs rely on recent results on perpetuities in a Markovian environment by Alsmeyer and Buckmann.

引用

页数：25

共 50 条

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