Slowing time: Markov-modulated Brownian motions with a sticky boundary
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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.
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Cited in
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- Networks of interacting stochastic fluid models with infinite and finite buffers
- Multidimensional sticky Brownian motions as limits of exclusion processes
- A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
- The morphing of fluid queues into Markov-modulated Brownian motion
- Rate of strong convergence to Markov-modulated Brownian motion
- Markov-modulated Brownian motions perturbed by catastrophes
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