In this paper, we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modulated by a finite state space irreducible continuous time Markov chain. The goal is to compute the stationary...

For certain subordinators (Xt)t≥0 it is shown that the process (−tlogXts)s0 tends to an extremal process (η̂s)s0 in the sense of convergence of the finite dimensional distributions. Additionally it is also shown that (z∧(−tlogXts))s≥0 converges weakly to (z∧η̂s)s≥0 in D[0,∞),...

Kella and Whitt (J. Appl. Probab. 29 (1992) 396) introduced a martingale {Mt} for processes of the form Zt=Xt+Yt where {Xt} is a Lévy process and Yt satisfies certain regularity conditions. In particular, this provides a martingale for the case where Yt=Lt where Lt is the local time at zero of...

We consider a Brownian storage system with stepwise holding cost and linear cost of disposal. There are no limits on the rate of disposal. We seek a policy which minimizes total discounted cost on an infinite interval. It is proved that the optimal policy is characterized by two points: one is a...