- Author
- Year
- 2010
- Title
- First passage of time-reversible spectrally negative Markov additive processes
- Journal
- Operations Research Letters
- Volume | Issue number
- 38 | 2
- Pages (from-to)
- 77-81
- Document type
- Article
- Faculty
- Faculty of Science (FNWI)
- Institute
- Korteweg-de Vries Institute for Mathematics (KdVI)
- Abstract
-
We study the first passage process of a spectrally negative Markov additive process (MAP). The focus is on the background Markov chain at the times of the first passage. This process is a Markov chain itself with a transition rate matrix Λ. Assuming time reversibility, we show that all the eigenvalues of Λ are real, with algebraic and geometric multiplicities being the same, which allows us to identify the Jordan normal form of Λ. Furthermore, this fact simplifies the analysis of fluctuations of a MAP. We provide an illustrative example and show that our findings greatly reduce the computational efforts required to obtain Λ in the time-reversible case.
- URL
- go to publisher's site
- Language
- English
- Persistent Identifier
- https://hdl.handle.net/11245/1.333356
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