4 citations · 6 across the 6 of their papers we have counts for
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Tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes
Gerold Alsmeyer, Anita Behme
We study the tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes -- that is, solutions to Langevin-type stochastic differential equations driven by a backgro…
Duals and inverse flows of generalized Ornstein-Uhlenbeck processes
Anita Behme, Henriette E. Heinrich, Alexander Lindner
We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the…
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…
On -scale functions of spectrally negative compound Poisson processes
Anita Behme, David Oechsler
Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes. For spectrally negative compound Poisson processes with positive drift, a new r…
A 22 random switching model and its dual risk model
Anita Behme, Philipp Lukas Strietzel
In this article a special case of an M/G/2-queue is considered, where the two servers are exposed to two types of jobs that are distributed among the servers via a random switch. I…
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…