The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates

Breuer, Lothar (2013) The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates. Journal of Applied Probability, 50 (2). pp. 430-438. ISSN 0021-9002 . (The full text of this publication is not available from this repository)

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Abstract

We consider a Markov-modulated Brownian motion (MMBM) with phase-dependent termination rates, i.e. while in a phase i the process terminates with a constant hazard rate ri � 0. For such a process we determine the matrix of expected local times (at zero) before termination and hence the resolvent. The results are applied to some recent questions arising in the framework of insurance risk. We further provide expressions for the resolvent and the local times at zero of an MMBM reflected at its infimum. Keywords: Markov-modulated Brownian motion; local time; resolvent; Markov-additive process

Item Type: Article
Subjects: Q Science > QA Mathematics (inc Computing science) > QA273 Probabilities
Divisions: Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics
Depositing User: Lothar Breuer
Date Deposited: 04 Oct 2012 07:27
Last Modified: 18 Sep 2013 13:18
Resource URI: http://kar.kent.ac.uk/id/eprint/31239 (The current URI for this page, for reference purposes)
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