Matrix equations in Markov modulated Brownian motion: theoretical properties and numerical solution
Author:
Affiliation:
1. Department of Statistics, The University of Seoul, Seoul, South Korea;
2. Dipartimento di Matematica, Università di Pisa, Pisa, Italy
Publisher
Informa UK Limited
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/15326349.2019.1704785
Reference20 articles.
1. An IBNR–RBNS insurance risk model with marked Poisson arrivals
2. A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
3. Stationary distributions for fluid flow models with or without brownian noise
4. Nonnegative Matrices in the Mathematical Sciences
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