Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
type: Item
instance of: scholarly article
title: Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
zbMATH Open document ID: 1357.60087
author: Soohan Ahn
published in: Journal of the Korean Statistical Society
publication date: 2017-02-09T00:00:00Z
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60K15
Mathematics Subject Classification ID: 60G20
zbMATH DE Number: 6682878
zbMATH Keywords: Markov-modulated Brownian motion
zbMATH Keywords: Markov-modulated fluid flow
zbMATH Keywords: two-sided reflection
zbMATH Keywords: weak convergence
zbMATH Keywords: Markov renewal process
zbMATH Keywords: skip-free level crossing
MaRDI profile type: Publication
full work available at URL: j.jkss.2016.06.002
OpenAlex ID: W2464850994
cites work: Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
cites work: 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
cites work: Transient Analysis of Fluid Flow Models via Stochastic Coupling to a Queue
cites work: Bilateral Phase Type Distributions
cites work: Efficient algorithms for transient analysis of stochastic fluid flow models
cites work: Duality results for Markov-modulated fluid flow models
cites work: A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
cites work: Applied Probability and Queues
cites work: Hitting probabilities and hitting times for stochastic fluid flows
cites work: Q5560061
cites work: First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
cites work: A quintuple law for Markov additive processes with phase-type jumps
cites work: Exit Problems for Reflected Markov-Modulated Brownian Motion
cites work: Markov-Modulated Brownian Motion with Two Reflecting Barriers
cites work: On perpetual American put valuation and first-passage in a regime-switching model with jumps
cites work: An explicit formula for the Skorokhod map on \([0,a]\)
cites work: Introduction to Matrix Analytic Methods in Stochastic Modeling
cites work: Passage times in fluid models with application to risk processes
cites work: A Fluid Introduction to Brownian Motion and Stochastic Integration
cites work: Weak Convergence of Probability Measures on the Function Space $C\lbrack 0, \infty)$
cites work: Some Useful Functions for Functional Limit Theorems
cites work: Stochastic-Process Limits
DOI: 10.1016/J.JKSS.2016.06.002
Recommended article: Two-Sided Reflection of Markov-Modulated Brownian Motion
Recommended article: 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
Recommended article: Fluid approach to two-sided reflected Markov-modulated Brownian motion
Recommended article: Q5367747
Recommended article: The Resolvent and Expected Local Times for Markov-Modulated Brownian Motion with Phase-Dependent Termination Rates
Recommended article: Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
Recommended article: Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
Recommended article: Markov-Modulated Brownian Motion with Two Reflecting Barriers
Recommended article: On a class of stochastic models with two-sided jumps
description: scientific article; zbMATH DE number 6682878