Ítem
Acceso Abierto
Kac–Lévy Processes
Título de la revista
Autores
Ratanov, Nikita
Archivos
Fecha
2020
Directores
ISSN de la revista
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Editor
Springer
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Métricas alternativas
Resumen
Abstract
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.
Palabras clave
Keywords
Exponential functional , Goldstein–Kac process , Lévy–Khintchine exponent , Lévy–Laplace exponent , Markov-modulated Lévy process , Markov-switching model , Mixture of distributions
