On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes

Anita Behme, Paolo Di Tella, Apostolos Sideris

We establish sufficient conditions for the existence, and derive explicit formulas for the $\kappa$'th moments, $\kappa \ge 1$, of Markov modulated generalized Ornstein-Uhlenbeck processes a…