Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps

DOI10.1016/J.JKSS.2016.06.002zbMATH Open1357.60087OpenAlexW2464850994MaRDI QIDQ508104FDOQ508104

Authors: Soohan Ahn 

Publication date: 9 February 2017

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2016.06.002

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• Stationarity of a class of Markov-modulated reflected jump diffusion processes
• The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates
• Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
• Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
• Markov-modulated Brownian motion with two reflecting barriers
• On a class of stochastic models with two-sided jumps

zbMATH Keywords

weak convergenceMarkov renewal processtwo-sided reflectionMarkov-modulated Brownian motionMarkov-modulated fluid flowskip-free level crossing

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15) Generalized stochastic processes (60G20)

Cites Work

• Title not available (Why is that?)
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• Weak Convergence of Probability Measures on the Function Space $C\lbrack 0, \infty)$
• An explicit formula for the Skorokhod map on \([0,a]\)
• Duality results for Markov-modulated fluid flow models
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
• Markov-modulated Brownian motion with two reflecting barriers
• Exit problems for reflected Markov-modulated Brownian motion
• A fluid introduction to Brownian motion and stochastic integration
• A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
• Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: formulas driven by the minimal solution matrix of a Riccati equation
• A quintuple law for Markov additive processes with phase-type jumps
• Bilateral Phase Type Distributions

Cited In (6)

• Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: formulas driven by the minimal solution matrix of a Riccati equation
• Stationarity of a class of Markov-modulated reflected jump diffusion processes
• Strong convergence to two-dimensional alternating Brownian motion processes
• Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
• An explicit solution to the Skorokhod embedding problem for double exponential increments
• Rate of strong convergence to Markov-modulated Brownian motion

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