par Latouche, Guy 
;Simon, Matthieu
Référence Methodology and Computing in Applied Probability, 20, 4, page (1199-1222)
Publication Publié, 2018-12
;Simon, Matthieu Référence Methodology and Computing in Applied Probability, 20, 4, page (1199-1222)
Publication Publié, 2018-12
Article révisé par les pairs
| Résumé : | We determine the stationary distribution of a one-sided Markov-Modulated Brownian Motion (MMBM) of which the behaviour is modified during the intervals between a visit to level zero and the next visit to a fixed positive level b. We use the semi-regenerative structure of the process, and we also use the fluid approximation for MMBMs introduced by Latouche and Nguyen in 2015. Finally, we show how the expressions can be simplified in some interesting special cases and we conclude by providing some numerical illustrations. |
