Markov-modulated Brownian motions perturbed by catastrophes

DOI10.1080/17442508.2019.1624753MaRDI QIDQ5086482zbMATH OpenOpenAlexWikidataFDO

Authors Matthieu Simon

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2019.1624753

zbMATH Keywords

catastrophesMarkov-modulated Brownian motionmatrix analytic methodssemi-regenerative processesstationary distribution

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Brownian motion (60J65) Renewal theory (60K05) Markov renewal processes, semi-Markov processes (60K15)

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Cites work

• A fluid introduction to Brownian motion and stochastic integration
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• Markov-modulated Brownian motion with temporary change of regime at level zero
• Markov-modulated Brownian motion with two reflecting barriers
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• Slowing time: Markov-modulated Brownian motions with a sticky boundary
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• The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates
• Two-sided reflection of Markov-modulated Brownian motion

Cited in

(1)

• Markov-modulated Brownian motion with temporary change of regime at level zero

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