Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts Working Papers

authors

D AURIA, BERNARDO
KELLA, OFFER

publisher

Universidad Carlos III de Madrid. Departamento de Estadística

publication date

2011

series title

UC3M Working papers. Statistics and Econometrics

full text

http://hdl.handle.net/10016/10885

series number

11-07

subjects

Statistics

keywords

markov modulation; brownian motion; dividend payout; two sided reflection