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Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
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Markov modulation of a two-sided reflected Brownian motion with application to fluid queues (2012)Markov modulation of a two-sided reflecte…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…An explicit formula for the Skorokhod map on [0,a (2012)An explicit formula for the S…Classical and singular stochastic control for the optimal dividend policy when there is regime switching (2011)Classical and singular stocha…The Skorohod oblique reflection problem in time-dependent domains (2010)The Skorohod oblique reflecti…On perpetual American put valuation and first-passage in a regime-switching model with jumps (2008)On perpetual American put val…First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type (2008)First Passage Times for Marko…An explicit formula for the Skorokhod map on [0, a] (2007)An explicit formula for the S…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Controlled diffusion models for optimal dividend pay-out (1997)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation (2012)Optimal Production Management When Demand Depends on the Business Cycle (2013)Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods (2013)Stochastic differential equations with reflecting boundary condition in convex regions (1979)Approximating the GI/GI/1+GI Queue with a Nonlinear Drift Diffusion: Hazard Rate Scaling in Heavy Traffic (2008)Asymptotically Optimal Admission Control of a Queue with Impatient Customers (2008)The Skorokhod problem in a time-dependent interval (2008)Applied Probability and Queues (1987)On the Time Value of Ruin (1998)Applied Probability and Queues (2003)A quintuple law for Markov additive processes with phase-type jumps (2010)The Markov Additive Risk Process Under an Erlangized Dividend Barrier Strategy (2014)Fluid approach to two-sided reflected Markov-modulated Brownian motion (2015)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic differential equations with reflecting boundary conditions (1984)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Matrix-Geometric Solutions to Stochastic Models (1984)A Jump-Diffusion Model for Option Pricing (2002)The Fine Structure of Asset Returns: An Empirical Investigation (2002)A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (2010)Optimal dividend distribution under Markov regime switching (2012)Option pricing under regime-switching jump–diffusion models (2013)Brownian Motion and Stochastic Flow Systems. (1987)Brownian Models of Performance and Control (2013)Option pricing by Esscher transforms. (1995)Estimating quadratic variation using realized variance (2002)Common Failings: How Corporate Defaults Are Correlated (2007)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 2012An explicit formula for the Skorokhod map on [0,a160 cited
  • 2007An explicit formula for the Skorokhod map on [0, a]139 cited
  • 2008On perpetual American put valuation and first-passage in a regime-switching model with jumps83 cited
  • 2008First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type76 cited
  • 2011Classical and singular stochastic control for the optimal dividend policy when there is regime switching58 cited
  • 2010The Skorohod oblique reflection problem in time-dependent domains24 cited

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