Occupation densities in solving exit problems for Markov additive processes and their reflections

This paper solves exit problems for spectrally negative Markov additive processes and their reflections. A so-called scale matrix, which is a generalization of the scale function of a spectrally negative \levy process, plays a central role in the study of exit problems. Existence of the scale matrix was shown in Thm. 3 of Kyprianou and Palmowski (2008). We provide a probabilistic construction of the scale matrix, and identify the transform. In addition, we generalize to the MAP setting the relation between the scale function and the excursion (height) measure. The main technique is based on the occupation density formula and even in the context of fluctuations of spectrally negative L\'{e}vy processes this idea seems to be new. Our representation of the scale matrix W(x)=e^{-\Lambda x}\eL(x) in terms of nice probabilistic objects opens up possibilities for further investigation of its properties

First passage of a Markov additive process and generalized Jordan chains

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 function, which plays a crucial role in fluctuation theory. We show how to identify this matrix using the theory of Jordan chains associated with analytic matrix functions. This result provides us with a technique, which can be used to derive various further identities.Lévy processes, Fluctuation theory, Markov Additive Processes

On the record process of time-reversible spectrally-negative Markov additive processes

We study the record process of a spectrally-negative Markov additive process (MAP). Assuming time-reversibility, a number of key quantities can be given explicitly. It is shown how these key quantities can be used when analyzing the distribution of the all-time maximum attained by MAPs with negative drift, or, equivalently, the stationary workload distribution of the associated storage system; the focus is on Markov-modulated Brownian mo- tion, spectrally-negative and spectrally-positive MAPs. It is also argued how our results are of great help in the numerical analysis of systems in which the driving MAP is a superposition of multiple time-reversible MAPs

Markov-modulated Brownian motion with two reflecting barriers

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. We provide a short probabilistic argument leading to this result and explaining its simplicity. Moreover, this argument allows for generalizations including the distribution of the reflected process at an independent exponentially distributed epoch. Our second contribution concerns transient behavior of the reflected system. We identify the joint law of the processes t,X(t),J(t) at inverse local times.Comment: 13 pages, 1 figur