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- W2026702907 abstract "We consider a Brownian motion with time-reversible Markov-modulated speed and two reflecting barriers. A methodology depending on a certain multidimensional martingale together with some linear algebra is applied in order to explicitly compute the stationary distribution of the joint process of the content level and the state of the underlying Markov chain. It is shown that the stationary distribution is such that the two quantities are independent. The long-run average push at the two barriers at each of the states is also computed." @default.
- W2026702907 created "2016-06-24" @default.
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- W2026702907 date "2004-12-01" @default.
- W2026702907 modified "2023-10-18" @default.
- W2026702907 title "A Brownian motion with two reflecting barriers and Markov-modulated speed" @default.
- W2026702907 cites W4238083484 @default.
- W2026702907 doi "https://doi.org/10.1239/jap/1101840571" @default.
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