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On the asymptotic behavior of the storage process fed by a Markov modulated Brownian motion

On the asymptotic behavior of the storage process fed by a Markov modulated Brownian motion Consider a storage model fed by a Markov modulated Brownian motion. We prove that the stationary distribution of the model exits and that the running maximum of the storage process over the interval [0, t] grows asymptotically like log t as t→∞. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

On the asymptotic behavior of the storage process fed by a Markov modulated Brownian motion

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Publisher
Springer Journals
Copyright
Copyright © 2008 by Springer-Verlag
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-006-6030-5
Publisher site
See Article on Publisher Site

Abstract

Consider a storage model fed by a Markov modulated Brownian motion. We prove that the stationary distribution of the model exits and that the running maximum of the storage process over the interval [0, t] grows asymptotically like log t as t→∞.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Mar 13, 2008

References