Markov modulation of a two-sided reflected Brownian motion with application to fluid queues

DOI10.1016/J.SPA.2012.02.001zbMath1255.60137arXiv1104.4936OpenAlexW2017906978MaRDI QIDQ424487

Bernardo D'auria, Offer Kella

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.4936

zbMATH Keywords

Brownian motionfluid queuesMarkov modulationtwo-sided reflection

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (9)

A viscosity solution method for optimal stopping problems with regime switching ⋮ Markov-modulated Brownian motions perturbed by catastrophes ⋮ Markov-modulated Brownian motion with temporary change of regime at level zero ⋮ The morphing of fluid queues into Markov-modulated Brownian motion ⋮ Local martingales with two reflecting barriers ⋮ Optimal Control of Debt-to-GDP Ratio in an $N$-State Regime Switching Economy ⋮ On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process ⋮ On the Dynamics of Semimartingales with Two Reflecting Barriers ⋮ Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections

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