Slowing time: Markov-modulated Brownian motions with a sticky boundary

From MaRDI portal
(Redirected from Publication:4976519)



Abstract: We analyze the stationary distribution of regulated Markov modulated Brownian motions (MMBM) modified so that their evolution is slowed down when the process reaches level zero --- level zero is said to be {em sticky}. To determine the stationary distribution, we extend to MMBMs a construction of Brownian motion with sticky boundary, and we follow a Markov-regenerative approach similar to the one developed in past years in the context of quasi-birth-and-death processes and fluid queues. We also rely on recent work showing that Markov-modulated Brownian motions may be analyzed as limits of a parametrized family of fluid queues. We use our results to revisit the stationary distribution of the well-known regulated MMBM.












This page was built for publication: Slowing time: Markov-modulated Brownian motions with a sticky boundary

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4976519)