Markov additive friendships

L. Döring, L. Trottner, A. R. Watson

Abstract

The Wiener--Hopf factorisation of a Lévy or Markov additive process describes the way that it attains new maxima and minima in terms of a pair of so-called ladder height processes. Vigon's theory of friendship for Lévy processes addresses the inverse problem: when does a process exist which has certain prescribed ladder height processes? We give a complete answer to this problem for Markov additive processes, provide simpler sufficient conditions for constructing processes using friendship, and address in part the question of the uniqueness of the Wiener--Hopf factorisation for Markov additive processes.

Type
unpublished
Publication
Submitted
Date
August 2023
Links
Preprint