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Persistent link: https://www.econbiz.de/10011687127
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...
Persistent link: https://www.econbiz.de/10008672248