Markov modulation of a two-sided reflected Brownian motion with application to fluid queues (Q424487)

The authors study a reflected Markov-modulated Brownian motion with a two-sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modulated by a finite space irreducible continuous time Markov chain. The main goal is to give a computational scheme for computing the joint stationary distribution of the buffer content and the state of the underlying environments. The paper gives the general theory and then specializes to the case where the underlying Markov chain has two states.