Two-sided reflection problem for the Markov modulated Brownian motion

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Show simple item record D'Auria, Bernardo Kella, Offer Ivanovs, Jevgenijs Mandjes, Michel
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística 2010-10-05T15:16:37Z 2010-10-05T15:16:37Z 2010-10
dc.description.abstract In this paper we consider the two-sided reflection of a Markov modulated Brownian motion by analyzing the spectral properties of the matrix polynomial associated with the generator of the free process. We show how to compute for the general case the Laplace transform of the stationary distribution and the average loss rates at both barriers for the reflected process. This work extends previous partial results by broadening and completing the analysis for the special cases when the spectrum of the generator is nonsemi- simple, and for the delicate case where the asymptotic drift of the process is zero.
dc.format.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 10-24
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Two-sided Skorokhod reflection
dc.subject.other Markov Modulated Brownian Motion
dc.title Two-sided reflection problem for the Markov modulated Brownian motion
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws104024
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