Markov additive friendships

Abstract

In Lévy processes, the Wiener-Hopf factorisation describes the way the sample path achieves new maxima and minima in terms of a pair of subordinators. Vigon’s theorem of friends is its converse: a way to construct a Lévy process with known Wiener-Hopf factorisation out of a given pair of subordinators which are 'friends'. In this talk, I will discuss the analogous problem for Markov additive processes. I will give some sufficient conditions for friendship of Markov additive subordinators, and show that some new subtleties arise. This is joint work with Leif Döring (Mannheim) and Lukas Trottner (Aarhus).

Date
July 2022
Event
10th International Conference on Lévy Processes
Links
Slides HTML