Markov-modulated Brownian motions perturbed by catastrophes

DOI10.1080/17442508.2019.1624753zbMATH Open1490.60241OpenAlexW2947674278WikidataQ127793930 ScholiaQ127793930MaRDI QIDQ5086482FDOQ5086482

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

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zbMATH Keywords

matrix analytic methodsstationary distributioncatastrophesMarkov-modulated Brownian motionsemi-regenerative processes

Mathematics Subject Classification ID

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

Cites Work

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• 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
• The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• Markov-modulated Brownian motion with temporary change of regime at level zero
• Slowing time: Markov-modulated Brownian motions with a sticky boundary

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