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math.PR2021
A Markov jump process associated with the matrix-exponential distribution
Oscar Peralta
Let be the density function associated to a matrix-exponential distribution of parameters . By exponentially tilting , we find a probabilistic interpretation which…
math.PR2021
RAP-modulated Fluid Processes: First Passages and the Stationary Distribution
Nigel G. Bean, Giang T. Nguyen, Bo F. Nielsen +1
We construct a stochastic fluid process with an underlying piecewise deterministic Markov process (PDMP) akin to the one used in the construction of the rational arrival process (R…
math.PR2021
Wong--Zakai approximations with convergence rate for stochastic differential equations with regime switching
Giang T. Nguyen, Oscar Peralta
We construct Wong--Zakai approximations of time--inhomogeneous stochastic differential equations with regime switching (RSSDEs), and provide a convergence rate. %Given a family of…