D’Auria, Bernardo; Kella, Offer - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1566-1581
In this paper, we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modulated by a finite state space irreducible continuous time Markov chain. The goal is to compute the stationary...
