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First passage process of a Markov additive process, with applications to reflection problems
Authors
B. D'Auria
J. Ivanovs
O. Kella
M.R.H. (Michel) Mandjes
Publication date
1 June 2009
Publisher
CWI
Abstract
In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The
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oai:cwi.nl:13995
Last time updated on 18/04/2020