First passage process of a Markov additive process, with applications to reflection problems

Bernardo D' Auria, J. Ivanovs, O. Kella, M.R.H. Mandjes

Research output: Book/ReportReportAcademic

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Abstract

In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix function, which plays a crucial role in uctuation theory. We show how to identify this matrix using the theory of Jordan chains associated with analytic matrix functions. Importantly, our result also provides us with a technique, which can be used to derive various further identities. We then proceed to show how to compute the stationary distribution associated with a one-sided reected (at zero) MAP for both the spectrally positive and spectrally negative cases as well as for the two sided reected Markov modulated Brownian motion; these results can be interpreted in terms of queues with MAP input.
Original languageEnglish
Place of PublicationEindhoven
PublisherEurandom
Number of pages13
Publication statusPublished - 2009

Publication series

NameReport Eurandom
Volume2009049
ISSN (Print)1389-2355

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