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A REFLECTED DIFFUSION PROCESS IN A REGIME-SWITCHING ENVIRONMENT SCIE SCOPUS
- Title
- A REFLECTED DIFFUSION PROCESS IN A REGIME-SWITCHING ENVIRONMENT
- Date Issued
- 2008-03
- Publisher
- ELSEVIER SCIENCE BV
- Abstract
- This paper provides steady-state analysis of a reflected diffusion process governed by a regime-switching environment. We characterize differential equations satisfied by the limiting densities for overlapped and non-overlapped cases of reflecting boundary positions. Also we provide closed-form solutions for some specific cases and propose numerical methods for general cases. (C) 2007 Elsevier B.V. All rights reserved.
- Keywords
- Brownian motion; diffusion process; reflecting boundary; random environment; steady-state density; fluid flow model; BROWNIAN-MOTION
- ISSN
- 0167-6377
- Article Type
- Article
- Citation
- OPERATIONS RESEARCH LETTERS, vol. 36, no. 2, page. 177 - 183, 2008-03
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Related Researcher
- 장봉규JANG, BONG GYU
- Dept. of Industrial & Management Eng.