Matrix factorization identity for almost semi-continuous processes on a Markov chain

Details Matrix factorization identity for almost semi-continuous processes on a Markov chain Matrix factorization identity for almost semi-continuous processes on a Markov chain

2009-08-29

arxiv.org/abs/0908.4326v1

Theory of Stochastic Processes, Vol. 11 (27), no. 1-2, 2005, pp.40-47

Mathematics

Probability

8 pages

Scientific paper

In this article almost semi-continuous processes with stationary independent increments on a finite irreducible Markov chain are considered. For these processes the components of matrix factorization identity are concretely defined. On the basis of this concrete definition the relations for the distributions of extrema and distributions of their complements for the almost upper semi-continuous processes are established.

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