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math.PR2020
Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
Anita Behme, Apostolos Sideris
We derive the Markov-modulated generalized Ornstein-Uhlenbeck process by embedding a Markov-modulated random recurrence equation in continuous time. The obtained process turns out…
math.PR2019
Exponential functionals of Markov additive processes
Anita Behme, Apostolos Sideris
We provide necessary and sufficient conditions for convergence of exponential integrals of Markov additive processes. Other than in the classical Lévy case studied by Erickson and…