A reflected diffusion process in a regime-switching environment
- Author
- JANG, Bong-Gyu1 ; SHIM, Gyoocheol2
[1] Financial Supervisory Service, Korea, Republic of
[2] School of Business Administration, Myongji University, Seoul 120-728, Korea, Republic of - Source
Operations research letters. 2008, Vol 36, Num 2, pp 177-183, 7 p ; ref : 5 ref
- CODEN
- ORLED5
- ISSN
- 0167-6377
- Scientific domain
- Control theory, operational research
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- Brownian motion Diffusion process Fluid flow model Random environment Reflecting boundary Steady-state density
- Keyword (fr)
- Commutation Condition aux limites Equation différentielle Modèle fluide Modèle écoulement Modélisation Mouvement brownien Processus diffusion Régime permanent Solution exacte
- Keyword (en)
- Switching Boundary condition Differential equation Fluid model Flow models Modeling Brownian motion Diffusion process Steady state Exact solution
- Keyword (es)
- Conmutación Condiciones límites Ecuación diferencial Modelo fluido Modelización Movimiento browniano Proceso difusión Régimen permanente Solución exacta
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A05 Queuing theory. Traffic theory
- Discipline
- Mathematics Operational research. Management
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20178555
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.orl.2007.05.014 
https://dx.doi.org/10.1016/j.orl.2007.05.014
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