| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1142908 | Operations Research Letters | 2008 | 7 Pages |
Abstract
This paper provides steady-state analysis of a reflected diffusion process governed by a regime-switching environment. We characterize differential equations satisfied by the limiting densities for overlapped and non-overlapped cases of reflecting boundary positions. Also we provide closed-form solutions for some specific cases and propose numerical methods for general cases.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Bong-Gyu Jang, Gyoocheol Shim,