You are not currently logged in.
Access JSTOR through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
A Multi-Dimensional Martingale for Markov Additive Processes and Its Applications
Søren Asmussen and Offer Kella
Advances in Applied Probability
Vol. 32, No. 2 (Jun., 2000), pp. 376-393
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/1428194
Page Count: 18
You can always find the topics here!Topics: Martingales, Markov processes, Eigenvectors, Eigenvalues, Brownian motion, Matrices, Markov chains, Random variables, Continuous production
Were these topics helpful?See somethings inaccurate? Let us know!
Select the topics that are inaccurate.
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
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.
Advances in Applied Probability © 2000 Applied Probability Trust