Computing the invariant law of a fluid model

DOI10.2307/3215314MaRDI QIDQ4322043zbMATH OpenOpenAlexWikidataFDO

Authors L. C. G. Rogers, Zhan Shi

Publication date 20 March 1995

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

Full work available at URL https://doi.org/10.2307/3215314

zbMATH Keywords

equilibrium law of a fluid modelfluid modelsqueueing systemsWiener-Hopf factorization

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Queueing theory (aspects of probability theory) (60K25)

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• Barrier option pricing in regime switching models with rebates
• Efficient computation of Wiener-Hopf factorization of Markov-modulated Brownian motion
• Pricing and hedging defaultable participating contracts with regime switching and jump risk
• Second-order fluid models with general boundary behaviour

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