Exit problems for reflected Markov-modulated Brownian motion
From MaRDI portal
Publication:3165488
DOI10.1239/JAP/1346955327zbMATH Open1256.60027OpenAlexW2020271689MaRDI QIDQ3165488FDOQ3165488
Authors: 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
Recommendations
- Markov-modulated Brownian motion with two reflecting barriers
- Fluid approach to two-sided reflected Markov-modulated Brownian motion
- Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
- Occupation times for Markov-modulated Brownian motion
- Two-sided reflection of Markov-modulated Brownian motion
Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37)
Cites Work
- Applied Probability and Queues
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- Two-sided reflection of Markov-modulated Brownian motion
- Stationary distributions for fluid flow models with or without brownian noise
- A multi-dimensional martingale for Markov additive processes and its applications
- Russian and American put options under exponential phase-type Lévy models.
- Optimal Dividends
- On the Time Value of Ruin
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Markov-modulated Brownian motion with two reflecting barriers
- A quintuple law for Markov additive processes with phase-type jumps
- Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum
- Exact buffer overflow calculations for queues via martingales
- Occupation times for Markov-modulated Brownian motion
- On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach
Cited In (15)
- Markov-modulated Brownian motions perturbed by catastrophes
- Drawdown analysis for the renewal insurance risk process
- The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates
- Markov-modulated Brownian motion with temporary change of regime at level zero
- Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem
- Two-sided reflection of Markov-modulated Brownian motion
- A note on Wiener-Hopf factorization for Markov additive processes
- A Brownian motion with two reflecting barriers and Markov-modulated speed
- Fluid approach to two-sided reflected Markov-modulated Brownian motion
- 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
- Potential measures for spectrally negative Markov additive processes with applications in ruin theory
- Exit problem for Ornstein-Uhlenbeck processes: a random walk approach
- Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
- Exit problems for Kou's process in a Markovian environment
This page was built for publication: Exit problems for reflected Markov-modulated Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3165488)
