Markov-modulated Brownian motion with temporary change of regime at level zero

DOI10.1007/S11009-017-9602-3MaRDI QIDQ1739337zbMATH OpenOpenAlexFDO

Authors Guy Latouche, Matthieu Simon

Publication date 26 April 2019

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-017-9602-3

zbMATH Keywords

Markov-modulated Brownian motionmatrix analytic methodssemi-regenerative processesstationary distributionstochastic processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37)

Recommendations

• Markov-modulated Brownian motions perturbed by catastrophes
• Fluid approach to two-sided reflected Markov-modulated Brownian motion
• Markov-modulated Brownian motion with two reflecting barriers
• The morphing of fluid queues into Markov-modulated Brownian motion
• Exit problems for reflected Markov-modulated Brownian motion

Cites work

• A fluid introduction to Brownian motion and stochastic integration
• Exit problems for reflected Markov-modulated Brownian motion
• Fluid approach to two-sided reflected Markov-modulated Brownian motion
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 52076 (Why is no real title available?)
• scientific article; zbMATH DE number 3532286 (Why is no real title available?)
• Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
• Markov-modulated Brownian motion with two reflecting barriers
• Nonsymmetric algebraic Riccati equations and Wiener-Hopf factorization for M-matrices
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• Stability for fluid queues: characteristic inequalities
• Stationary distributions for fluid flow models with or without brownian noise
• Sticky Brownian motion as the limit of storage processes
• The morphing of fluid queues into Markov-modulated Brownian motion
• Two-sided reflection of Markov-modulated Brownian motion

Cited in

(8)

• The morphing of fluid queues into Markov-modulated Brownian motion
• Transient behavior of regulated Brownian motion, II: Non-zero initial conditions
• Slowing time: Markov-modulated Brownian motions with a sticky boundary
• Rate of strong convergence to Markov-modulated Brownian motion
• Markov-modulated Brownian motions perturbed by catastrophes
• Strong convergence to two-dimensional alternating Brownian motion processes
• The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates
• On the asymptotic behavior of the storage process fed by a Markov modulated Brownian motion

This page was built for publication: Markov-modulated Brownian motion with temporary change of regime at level zero

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1739337)