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

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)

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Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 52076 (Why is no real title available?)
• scientific article; zbMATH DE number 3532286 (Why is no real title available?)
• A fluid introduction to Brownian motion and stochastic integration
• Exit problems for reflected Markov-modulated Brownian motion
• Fluid approach to two-sided reflected Markov-modulated Brownian motion
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• Functions of Matrices
• HITTING PROBABILITIES AND HITTING TIMES FOR STOCHASTIC FLUID FLOWS: THE BOUNDED MODEL
• Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
• 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
• Stationary distributions for fluid flow models with or without brownian noise
• The morphing of fluid queues into Markov-modulated Brownian motion
• The resolvent and expected local times for Markov-modulated Brownian motion with phase-dependent termination rates
• Two-sided reflection of Markov-modulated Brownian motion

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