Two-Sided Reflection of Markov-Modulated Brownian Motion
Work
Year: 2012
Type: article
Abstract: This article considers a Markov-modulated Brownian motion with a two-sided reflection. For this doubly-reflected process we compute the Laplace transform of the stationary distribution, as well as the... more
Source: Stochastic Models
Institutions Universidad Carlos III de Madrid, University of Amsterdam, Hebrew University of Jerusalem
Cites: 30
Cited by: 19
Related to: 10
FWCI: 5.158
Citation percentile (by year/subfield): 86.07
Subfield: Management Information Systems
Domain: Social Sciences
Open Access status: green