A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion

DOI10.1080/15326349.2016.1211018zbMath1361.60070OpenAlexW2527162212MaRDI QIDQ2976122

Soohan Ahn, Vaidyanathan Ramaswami

Publication date: 13 April 2017

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2016.1211018

zbMATH Keywords

weak convergenceRiccati equationNewton algorithmMarkov-modulated Brownian motionMarkov-modulated fluid flow

Mathematics Subject Classification ID

Related Items (6)

Strong convergence to two-dimensional alternating Brownian motion processes ⋮ Matrix-analytic solution of infinite, finite and level-dependent second-order fluid models ⋮ An explicit solution to the Skorokhod embedding problem for double exponential increments ⋮ Matrix equations in Markov modulated Brownian motion: theoretical properties and numerical solution ⋮ Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps ⋮ Accurate numerical solution for shifted \(M\)-matrix algebraic Riccati equations

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