A multi-dimensional martingale for Markov additive processes and its applications
Open Access
- 1 June 2000
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 32 (2), 376-393
- https://doi.org/10.1239/aap/1013540169
Abstract
We establish new multidimensional martingales for Markov additive processes and certain modifications of such processes (e.g., such processes with reflecting barriers). These results generalize corresponding one-dimensional martingale results for Lévy processes. This martingale is then applied to various storage processes, queues and Brownian motion models.Keywords
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