Two-sided reflection problem for the Markov modulated Brownian motion
AbstractIn 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.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws104024.
Date of creation: Oct 2010
Date of revision:
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Two-sided Skorokhod reflection; Markov Modulated Brownian Motion;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-16 (All new papers)
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