6 citations · 8 across the 3 of their papers we have counts for
3 papers
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…
math.PR2010
Markov-modulated Brownian motion with two reflecting barriers
Jevgenijs Ivanovs
We consider a Markov-modulated Brownian motion reflected to stay in a strip [0,B]. The stationary distribution of this process is known to have a simple form under some assumptions…
math.PR2010★ 2 cited
A new approach to fluctuations of reflected Lévy processes
Jevgenijs Ivanovs
We present a new approach to fluctuation identities for reflected Lévy processes with one-sided jumps. This approach is based on a number of easy to understand observations and doe…