Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: Formulas driven by the minimal solution matrix of a Riccati equation
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Publication:3186007
DOI10.1080/15326349.2016.1165621zbMath1342.60055OpenAlexW2337635340MaRDI QIDQ3186007
Publication date: 8 August 2016
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2016.1165621
Riccati equationfirst passage timeMarkov-modulated Brownian motionMarkov-modulated fluid flowbilateral ph-type jumptotal shift
Related Items (3)
An explicit solution to the Skorokhod embedding problem for double exponential increments ⋮ A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion ⋮ Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
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