Exit problems for reflected Markov-modulated Brownian motion

DOI10.1239/JAP/1346955327MaRDI QIDQ3165488zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

reflectionexit problemMarkov additive processMarkov-modulated Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37)

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Cites work

• A multi-dimensional martingale for Markov additive processes and its applications
• A quintuple law for Markov additive processes with phase-type jumps
• Applied Probability and Queues
• Exact buffer overflow calculations for queues via martingales
• Exit Problems for Spectrally Negative Lévy Processes Reflected at Either the Supremum or the Infimum
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• Markov-modulated Brownian motion with two reflecting barriers
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Occupation times for Markov-modulated Brownian motion
• On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• On the Time Value of Ruin
• Optimal Dividends
• Russian and American put options under exponential phase-type Lévy models.
• Stationary distributions for fluid flow models with or without brownian noise
• Two-sided reflection of Markov-modulated Brownian motion

Cited in

(15)

• Fluctuation identities for omega-killed spectrally negative Markov additive processes and dividend problem
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• Matrix-analytic solution of infinite, finite and level-dependent second-order fluid models
• Markov-modulated Brownian motions perturbed by catastrophes
• The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates
• The maximum severity of ruin in a perturbed risk process with Markovian arrivals
• Exit problem for Ornstein-Uhlenbeck processes: a random walk approach
• Exit problems for Kou's process in a Markovian environment
• Drawdown analysis for the renewal insurance risk process
• Markov-modulated Brownian motion with temporary change of regime at level zero
• Fluid approach to two-sided reflected Markov-modulated Brownian motion
• Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
• Two-sided reflection of Markov-modulated Brownian motion
• A Brownian motion with two reflecting barriers and Markov-modulated speed
• A note on Wiener-Hopf factorization for Markov additive processes

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