| On the Asymptotic Behavior of the Storage Process Fed by a Markov Modulated Brownian Motion |
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| 作者姓名： | Xiao-yu Xing Xue-qiang Wang |
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| 作者单位： | School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China |
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| 基金项目： | Supported by the National Natural Science Foundation of China （No. 10131040）. |
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| 摘 要： | 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→∞.
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| 关 键 词： | 马尔可夫过程 随机过程 固定分布 渐近性 |
| 收稿时间： | 2006-03-30 |
On the asymptotic behavior of the storage process fed by a Markov modulated Brownian motion |
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| Xiao-yu Xing Xue-qiang Wang.On the Asymptotic Behavior of the Storage Process Fed by a Markov Modulated Brownian Motion[J].Acta Mathematicae Applicatae Sinica,2008,24(1):75-84. |
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| Authors: | Xiao-yu Xing Xue-qiang Wang |
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| Institution: | (1) School of Mathematical Sciences and LPMC, Nankai University, Tianjin, 300071, China |
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| 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→∞.
Supported by the National Natural Science Foundation of China (No. 10131040). |
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| Keywords: | Markov modulated Brownian motion stationary distribution |
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