A Brownian motion with two reflecting barriers and Markov-modulated speed

DOI10.1239/jap/1101840571zbMath1062.60101OpenAlexW2026702907MaRDI QIDQ4660550

Offer Kella, Wolfgang Stadje

Publication date: 4 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1101840571

zbMATH Keywords

Brownian motionreflected Brownian motiontwo-sided reflectiondouble barrierMarkov modulatedmultidimensional martingalestate-dependent speed

Mathematics Subject Classification ID

Brownian motion (60J65) Inventory, storage, reservoirs (90B05) Processes in random environments (60K37)

Related Items (4)

Two-Sided Reflection of Markov-Modulated Brownian Motion ⋮ On the asymptotic behavior of the storage process fed by a Markov modulated Brownian motion ⋮ First passage of time-reversible spectrally negative Markov additive processes ⋮ Lévy Processes with Two-Sided Reflection

Cites Work

• A multi-dimensional martingale for Markov additive processes and its applications
• Unnamed Item

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