Article ID Journal Published Year Pages File Type
1142908 Operations Research Letters 2008 7 Pages PDF
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
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