most citedFirst passage process of a Markov additive process, with applications to reflection problems

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math.PR2025

On the optimal stopping of Gauss-Markov bridges with random pinning points

Abel Azze, Bernardo D'Auria

We consider the optimal stopping problem for a Gauss-Markov process conditioned to adopt a prescribed terminal distribution. By applying a time-space transformation, we show it is…

math.PR2010★ 6 cited

First passage process of a Markov additive process, with applications to reflection problems

Bernardo D'Auria, Jevgenijs Ivanovs, Offer Kella +1

In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix fu…