A multi-dimensional martingale for Markov additive processes and its applications

Søren Asmussen; Offer Kella

doi:10.1239/aap/1013540169

A multi-dimensional martingale for Markov additive processes and its applications

Søren Asmussen
, Offer Kella

Department of Statistics

Research output: Contribution to journal › Article › peer-review

85 Scopus citations

Abstract

We establish new multidimensional martingales for Markov additive processes and certain modifications of such processes (e.g., such processes with reflecting barriers). These results generalize corresponding one-dimensional martingale results for Lévy processes. This martingale is then applied to various storage processes, queues and Brownian motion models.

Original language	English
Pages (from-to)	376-393
Number of pages	18
Journal	Advances in Applied Probability
Volume	32
Issue number	2
DOIs	https://doi.org/10.1239/aap/1013540169
State	Published - 1 Jan 2000

Keywords

EOQ model
Fluid queues
Lévy process
Markov modulation
Multivariate martingale
Reflected Brownian motion
Storage process

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10.1239/aap/1013540169

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KW - EOQ model

KW - Fluid queues

KW - Lévy process

KW - Markov modulation

KW - Multivariate martingale

KW - Reflected Brownian motion

KW - Storage process

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A multi-dimensional martingale for Markov additive processes and its applications

Abstract

Keywords

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