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We provide necessary and sufficient conditions for convergence of exponential integrals of Markov additive processes. Other than in the classical L\'evy case studied by Erickson and Maller we have to… Click to show full abstract
We provide necessary and sufficient conditions for convergence of exponential integrals of Markov additive processes. Other than in the classical L\'evy case studied by Erickson and Maller we have to distinguish between almost sure convergence and convergence in probability. Our proofs rely on recent results on perpetuities in a Markovian environment by Alsmeyer and Buckmann.
Keywords:
markov additive;
additive processes;
exponential functionals;
functionals markov
Journal Title: Electronic Journal of Probability
Year Published: 2020
Link to full text (if available)
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Journal Title: Electronic Journal of Probability
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!