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math.PR2026
Scale operators for Cramér--Lundberg type Markov additive processes
Kei Noba
In this paper, we consider Markov additive processes (MAPs) whose additive components are $\bR$-valued and have no positive jumps. Specifically, we assume that the modulators are F…
math.PR2026
Fluctuation theory for spectrally negative Lévy processes killed by additive functionals
Kei Noba, José-Luis Pérez
In this paper, we study fluctuation identities for spectrally negative Lévy processes killed by a general class of additive functionals. We consider positive co-natural additive fu…
math.PR2026
Stochastic control with dividend payments and capital injections for Markov additive processes
Kei Noba
Motivated by de Finetti's optimal dividend problem with capital injections, we study a stochastic control problem for the additive component of a Markov additive process (MAP). In…