On the exponential functional of Markov Additive Processes, and applications to multi-type self-similar fragmentation processes and trees
A Markov Additive Process is a bi-variate Markov process $(\xi,J)=\big((\xi_t,J_t),t\geq0\big)$ which should be thought of as a multi-type L\'evy process: the second component $J$ is a Markov chain on a finite space $\{1,\ldots,K\}$, and the first component $\xi$ behaves locally as a L\'ev...
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| Format: | Journal article |
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Brazilian Institute for Pure and Applied Mathematics
2018
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