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

DOI10.1016/J.SPA.2012.02.001zbMATH Open1255.60137arXiv1104.4936OpenAlexW2017906978MaRDI QIDQ424487FDOQ424487

Bernardo D'Auria, Offer Kella

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper we 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 state space irreducible continuous time Markov chain. The goal is to compute the stationary distribution of this Markov process, which in addition to the complication of having a stochastic boundary can also include jumps at state change epochs of the underlying Markov chain because of the boundary changes. We give the general theory and then specialize to the case where the underlying Markov chain has two states. Moreover, motivated by an application of optimal dividend strategies, we consider the case where the lower barrier is zero and the upper barrier is subject to control. In this case we generalized earlier results from the case of a reflected Brownian motion to the Markov modulated case.

Full work available at URL: https://arxiv.org/abs/1104.4936

zbMATH Keywords

Brownian motionMarkov modulationfluid queuestwo-sided reflection

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Brownian motion (60J65) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited In (14)

• Markov-modulated Brownian motions perturbed by catastrophes
• On the dynamics of semimartingales with two reflecting barriers
• On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process
• A viscosity solution method for optimal stopping problems with regime switching
• Markov-modulated Brownian motion with temporary change of regime at level zero
• Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections
• A sample path approach to mean busy periods for Markov-modulated queues and fluids
• Local martingales with two reflecting barriers
• Optimal Control of Debt-to-GDP Ratio in an $N$-State Regime Switching Economy
• Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
• The Markov modulated regulated Brownian motion: A second-order fluid flow model of a finite buffer
• Stationary distributions for fluid flow models with or without brownian noise
• Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
• The morphing of fluid queues into Markov-modulated Brownian motion

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