Exponential functionals of Markov additive processes
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DOI: 10.1214/20-ejp441
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… read more here.
Keywords: markov additive; additive processes; exponential functionals; functionals markov ... See more keywords