Bean, Nigel G.; O’Reilly, Małgorzata M. - In: Stochastic Processes and their Applications 124 (2014) 5, pp. 1741-1772
We introduce the Stochastic Fluid–Fluid Model, which offers powerful modeling ability for a wide range of real-life systems of significance. We first derive the infinitesimal generator, with respect to time, of the driving stochastic fluid model. We then use this to derive the infinitesimal...