A reflected diffusion process in a regime-switching environment

A reflected diffusion process in a regime-switching environment

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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: ,
Keywords: Diffusion processes
Abstract:

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.

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