A multi-dimensional martingale for Markov additive processes and its applications

被引：70
作者：
Asmussen, S
Kella, O
机构：
[1] Univ Lund, Dept Math Stat, S-22100 Lund, Sweden
[2] Hebrew Univ Jerusalem, Dept Stat, IL-91905 Jerusalem, Israel
来源：
ADVANCES IN APPLIED PROBABILITY | 2000年 / 32卷 / 02期
关键词：
Levy process; EOQ model; fluid queues; Markov modulation; multivariate martingale; reflected Brownian motion; storage process;
D O I：
10.1017/S0001867800009988
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We establish new multidimensional martingales for Markov additive processes and certain modifications of such processes (e.g., such processes with reflecting barriers). These results generalize corresponding one-dimensional martingale results for Levy processes. This martingale is then applied to various storage processes, queues and Brownian motion models.
引用
收藏
页码：376 / 393
页数：18
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