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

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

Authors Bernardo D'Auria, Offer Kella

Publication date 1 June 2012

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

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)

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.

Recommendations

• The morphing of fluid queues into Markov-modulated Brownian motion
• Fluid approach to two-sided reflected Markov-modulated Brownian motion
• Stationary distributions for a class of Markov-modulated tandem fluid queues
• Two-sided reflection of Markov-modulated Brownian motion
• Singularly perturbed Markov modulated fluid queues
• MARKOV MODULATED FLUID QUEUES WITH BATCH FLUID ARRIVALS
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• On the excursions of reflected local-time processes and stochastic fluid queues
• Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation

Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 3756646 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• A Lévy Process Reflected at a Poisson Age Process
• An explicit formula for the Skorokhod map on \([0,a]\)
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• The Skorohod oblique reflection problem in time-dependent domains
• Two-sided reflection of Markov-modulated Brownian motion

Cited in

(22)

• A sample path approach to mean busy periods for Markov-modulated queues and fluids
• Local martingales with two reflecting barriers
• Markov-modulated Brownian motion with two reflecting barriers
• Slowing time: Markov-modulated Brownian motions with a sticky boundary
• 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
• Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
• Stationary distributions for a class of Markov-modulated tandem fluid queues
• Markov-modulated Brownian motions perturbed by catastrophes
• Stationary distributions for fluid flow models with or without brownian noise
• The morphing of fluid queues into Markov-modulated Brownian motion
• Optimal control of debt-to-GDP ratio in an \(N\)-state regime switching economy
• Exit problems for reflected Markov-modulated Brownian motion
• 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
• Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections
• Stationarity of a class of Markov-modulated reflected jump diffusion processes
• The Markov modulated regulated Brownian motion: A second-order fluid flow model of a finite buffer

This page was built for publication: Markov modulation of a two-sided reflected Brownian motion with application to fluid queues

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424487)