Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps

DOI10.1016/j.jkss.2016.06.002zbMath1357.60087OpenAlexW2464850994MaRDI QIDQ508104

Soohan Ahn

Publication date: 9 February 2017

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.2016.06.002

zbMATH Keywords

weak convergenceMarkov renewal processtwo-sided reflectionMarkov-modulated Brownian motionMarkov-modulated fluid flowskip-free level crossing

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15) Generalized stochastic processes (60G20)

Related Items (3)

Rate of strong convergence to Markov-modulated Brownian motion ⋮ Strong convergence to two-dimensional alternating Brownian motion processes ⋮ An explicit solution to the Skorokhod embedding problem for double exponential increments

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