First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type

Abstract

The present paper generalises some results for spectrally negative Lévy processes to the setting of Markov additive processes (MAPs). A prominent role is assumed by the first passage times, which will be determined in terms of their Laplace transforms. These have the form of a phase-type distribution, with a rate matrix that can be regarded as an inverse function of the cumulant matrix. A numerically stable iteration to compute this matrix is given. The theory is first developed for MAPs without positive jumps and then extended to include positive jumps having phase-type distributions. Numerical and analytical examples show agreement with existing results in special cases.

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