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.