| Article ID: | iaor20091354 |
| Country: | Netherlands |
| Volume: | 36 |
| Issue: | 2 |
| Start Page Number: | 177 |
| End Page Number: | 183 |
| Publication Date: | Mar 2008 |
| Journal: | Operations Research Letters |
| Authors: | Shim Gyoocheol, Jang Bong-Gyu |
| Keywords: | Diffusion processes |
This paper provides steady-state analysis of a reflected diffusion process governed by a regime-switching environment. We characterize differential equations satisfied by the limiting densities for overlapped and non-overlapped cases of reflecting boundary positions. Also we provide closed-form solutions for some specific cases and propose numerical methods for general cases.