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 currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:31239)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. |
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 re?ected at its in?mum.
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: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
| Depositing User: | Lothar Breuer |
| Date Deposited: | 04 Oct 2012 07:27 UTC |
| Last Modified: | 05 Nov 2024 10:13 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/31239 (The current URI for this page, for reference purposes) |
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