A reflected diffusion process in a regime-switching environment

DOI10.1016/j.orl.2007.05.014zbMath1145.65003OpenAlexW2018430524MaRDI QIDQ935212

Bong-Gyu Jang, Gyoocheol Shim

Publication date: 6 August 2008

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2007.05.014

zbMATH Keywords

numerical examplesBrownian motiondiffusion processrandom environmentreflecting boundaryfluid flow modelsteady-state density

Mathematics Subject Classification ID

Related Items (3)

The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary ⋮ A note on stability in distribution of Markov-modulated stochastic differential equations with reflection ⋮ On pricing barrier control in a regime-switching regulated market

Cites Work

• Unnamed Item
• The Markov modulated regulated Brownian motion: A second-order fluid flow model of a finite buffer
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• On the transition densities for reflected diffusions

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