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Search: subject:"two-sided reflection"
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Brownian motion
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Two sided reflection
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Albrecher, Hansjörg
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D’Auria, Bernardo
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Ivanovs, Jevgenijs
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Departamento de Estadistica, Universidad Carlos III de Madrid
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Scandinavian actuarial journal
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Linking dividends and capital injections : a probabilistic approach
Albrecher, Hansjörg
;
Ivanovs, Jevgenijs
- In:
Scandinavian actuarial journal
(
2018
)
1
,
pp. 76-83
Persistent link: https://www.econbiz.de/10011880818
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Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts
D'Auria, Bernardo
;
Kella, Offer
-
Departamento de Estadistica, Universidad Carlos III de …
-
2011
Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts
Persistent link: https://www.econbiz.de/10009002351
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3
Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
D’Auria, Bernardo
;
Kella, Offer
- In:
Stochastic Processes and their Applications
122
(
2012
)
4
,
pp. 1566-1581
In this paper, we study a reflected Markov-modulated Brownian motion with a
two
sided
reflection
in which the drift …
Persistent link: https://www.econbiz.de/10010875075
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