Efficient computation of Wiener-Hopf factorization of Markov-modulated Brownian motion (Q6965679)
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scientific article; zbMATH DE number 8058252
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| English | Efficient computation of Wiener-Hopf factorization of Markov-modulated Brownian motion |
scientific article; zbMATH DE number 8058252 |
Statements
Efficient computation of Wiener-Hopf factorization of Markov-modulated Brownian motion (English)
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3 July 2025
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Markov-modulated Brownian motion
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algebraic Riccati equation
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doubling algorithm
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M-matrix
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