Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation

The steady-state distribution of the two-sided reflected Markov Modulated Brownian motion is derived through an alternative fluid approximation approach. In this paper, we have shown that the distribution can be obtained by taking limit on the steady-state distribution of a weakly convergent Markov...

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Veröffentlicht in:	Journal of the Korean Statistical Society Jg. 44; H. 3; S. 448 - 456
1. Verfasser:	Ahn, Soohan
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Singapore Elsevier B.V 01.09.2015 Springer Singapore 한국통계학회
Schlagworte:	Applied Statistics Bayesian Inference Duality Markov modulated Brownian motion Quadratically convergent algorithm Statistical Theory and Methods Statistics Statistics and Computing/Statistics Programs Steady-state distribution Weak convergence 통계학 secondary Weak convergence Quadratically convergent algorithm Steady-state distribution Markov modulated Brownian motion Duality primary primary 60K25 secondary 90B05
ISSN:	1226-3192, 2005-2863
Online-Zugang:	Volltext
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