Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: Formulas driven by the minimal solution matrix of a Riccati equation-Reference-Cited by-同舟云学术

Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: Formulas driven by the minimal solution matrix of a Riccati equation

Published:2016-04-14 Issue:3 Volume:32 Page:433-459
ISSN:1532-6349
Container-title:Stochastic Models
language:en
Short-container-title:Stochastic Models

Author:

Ahn Soohan

Publisher

Informa UK Limited

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/15326349.2016.1165621

Reference15 articles.

1. The Fourier-series method for inverting transforms of probability distributions

2. Duality results for Markov-modulated fluid flow models

3. Bilateral Phase Type Distributions

4. Convergence of Probability Measures

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