First Passage of a Markov Additive Process and Generalized Jordan Chains

Abstract

In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix function, which plays a crucial role in fluctuation theory. We show how to identify this matrix using the theory of Jordan chains associated with analytic matrix functions. This result provides us with a technique that can be used to derive various further identities.