کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527278 | 958770 | 2012 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Markov modulation of a two-sided reflected Brownian motion with application to fluid queues Markov modulation of a two-sided reflected Brownian motion with application to fluid queues](/preview/png/10527278.png)
چکیده انگلیسی
In this paper, we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modulated by a finite state space irreducible continuous time Markov chain. The goal is to compute the stationary distribution of this Markov process, which in addition to the complication of having a stochastic boundary can also include jumps at state change epochs of the underlying Markov chain because of the boundary changes. We give the general theory and then specialize to the case where the underlying Markov chain has two states.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 4, April 2012, Pages 1566-1581
Journal: Stochastic Processes and their Applications - Volume 122, Issue 4, April 2012, Pages 1566-1581
نویسندگان
Bernardo D'Auria, Offer Kella,