Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts
AbstractTwo-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts
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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 ws111107.
Date of creation: Apr 2011
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Markov modulation; Brownian motion; Dividend payout; Two sided reflection;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-07 (All new papers)
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