Markov modulated Brownian motion with a sticky boundary

Speaker:Guy Latouche       

Datetime:2015-09-30 16:00-17:30      

Title:Markov modulated Brownian motion with a sticky boundary   

Venue:Room 145 ,Math Building     

Abstract:      

We analyze the stationary distribution of regulated Markov modulated Brownian motions (MMBM) modified so that their evolution is slowed down when the process reaches level zero --- level zero is said to be sticky.      

To determine the stationary distribution, we extend to MMBMs a construction of Brownian motion with sticky boundary, and we follow a Markov-regenerative approach similar to the one developed in past years in the context of quasi-birth-and-death processes and fluid queues. We also rely on recent work showing that Markov-modulated Brownian motions may be analyzed as limits of a parametrized family of fluid queues.     



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