Markov additive friendships

Abstract

The Wiener–Hopf factorisation of a Lévy or Markov additive process describes the way that it attains new extrema in terms of a pair of so-called ladder height processes. Vigon’s theory of friendship for Lévy processes addresses the inverse problem: when does a process exist which has certain prescribed ladder height processes? We give a complete answer to this problem for Markov additive processes, provide simpler sufficient conditions for constructing processes using friendship, and address in part the question of the uniqueness of the Wiener–Hopf factorisation for Markov additive processes.