Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
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Cites work
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A fluid introduction to Brownian motion and stochastic integration
- A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
- A quintuple law for Markov additive processes with phase-type jumps
- Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
- An explicit formula for the Skorokhod map on \([0,a]\)
- Applied Probability and Queues
- Bilateral Phase Type Distributions
- Duality results for Markov-modulated fluid flow models
- Efficient algorithms for transient analysis of stochastic fluid flow models
- Exit problems for reflected Markov-modulated Brownian motion
- First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
- Hitting probabilities and hitting times for stochastic fluid flows
- Introduction to Matrix Analytic Methods in Stochastic Modeling
- Markov-modulated Brownian motion with two reflecting barriers
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Passage times in fluid models with application to risk processes
- Some Useful Functions for Functional Limit Theorems
- Stochastic-Process Limits
- 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
- Transient Analysis of Fluid Flow Models via Stochastic Coupling to a Queue
- Weak Convergence of Probability Measures on the Function Space $C\lbrack 0, \infty)$
Cited in
(6)- 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
- Strong convergence to two-dimensional alternating Brownian motion processes
- 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
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