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math.PR2010★ 4 cited
A new formula for some linear stochastic equations with applications
Offer Kella, Marc Yor
We give a representation of the solution for a stochastic linear equation of the form where is a cádlág semimartingale and 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…