On the asymptotic behavior of the storage process fed by a Markov modulated Brownian motion

DOI10.1007/S10255-006-6030-5MaRDI QIDQ925983zbMATH OpenOpenAlexFDO

Authors Xueqiang Wang, Xiaoyu Xing

Publication date 26 May 2008

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-006-6030-5

zbMATH Keywords

stationary distributionMarkov modulated Brownian motion

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Inventory, storage, reservoirs (90B05)

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Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• A Brownian motion with two reflecting barriers and Markov-modulated speed
• Applied Probability and Queues
• Extremes and related properties of random sequences and processes
• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• On the maximum workload of a queue fed by fractional Brownian motion.
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• Stationary distributions for fluid flow models with or without brownian noise
• The Markov modulated regulated Brownian motion: A second-order fluid flow model of a finite buffer

Cited in

(3)

• On intensities of perturbed random measures on Hausdorff spaces
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• On the limit behavior of a multicompartment storage model with an underlying Markov chain

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