Finding an NARE whose minimal nonnegative solution represents first passage quantities in the two-dimensional Brownian motion

DOI10.1007/S42952-024-00261-8MaRDI QIDQ6643293zbMATH OpenFDO

Authors Sungchul Hong, Soohan Ahn

Publication date 26 November 2024

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

Full work available at URL https://doi.org/10.1007/S42952-024-00261-8

zbMATH Keywords

first passage timenonsymmetric algebraic Riccati equationtwo-dimensional Brownian motiontwo-dimensional Markov modulated Brownian motiontwo-dimensional Markov modulated fluid flow

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(1)

• Finding an NARE whose minimal nonnegative solution represents first-passage increments in two-dimensional Markov modulated Brownian motion

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