Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
DOI10.1016/j.jkss.2014.12.005zbMath1332.60119OpenAlexW2068472780MaRDI QIDQ2515860
Publication date: 7 August 2015
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2014.12.005
weak convergencedualitysteady-state distributionMarkov modulated Brownian motionquadratically convergent algorithm
Central limit and other weak theorems (60F05) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Probabilistic methods, stochastic differential equations (65C99)
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Cites Work
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