Exit Problems for Reflected Markov-Modulated Brownian Motion

DOI10.1239/jap/1346955327zbMath1256.60027OpenAlexW2020271689MaRDI QIDQ3165488

Lothar Breuer

Publication date: 29 October 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1346955327

zbMATH Keywords

reflectionexit problemMarkov additive processMarkov-modulated Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37)

Related Items (10)

The Resolvent and Expected Local Times for Markov-Modulated Brownian Motion with Phase-Dependent Termination Rates ⋮ Markov-modulated Brownian motions perturbed by catastrophes ⋮ Drawdown analysis for the renewal insurance risk process ⋮ Matrix-analytic solution of infinite, finite and level-dependent second-order fluid models ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ A note on Wiener-Hopf factorization for Markov additive processes ⋮ Markov-modulated Brownian motion with temporary change of regime at level zero ⋮ Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ Fluctuation identities for Omega-killed spectrally negative Markov additive processes and dividend problem

Cites Work

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• Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum
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• On the Time Value of Ruin

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