[Todos] Fwd: Seminario de Estadistica, Modelizacion Estocastica y Aplicaciones

[Pablo Groisman]

Seminario de Estadística, Modelización Estocástica y Aplicaciones (SEMEA)

PROXIMO ENCUENTRO: Miércoles 9 de Junio, 10:30hs.
EXPOSITOR: Bernardo D'Auria, Universidad Carlos III de Madrid.
TITULO: REFLECTION PROBLEMS FOR THE MARKOV MODULATED BROWNIAN MOTION
LUGAR: Instituto de Cálculo, 2do piso, Pabellon 2.

RESUMEN:

The Markov modulated Brownian motion is a useful extension of well
known Brownian motion since it provides more flexibility in terms of
applications and at the same time keeps feasible the mathematical
analysis by a matrix extension of the tools employed for the analysis
of the Brownian motion.

In this talk we focus on the single and double sided Skorokhod
reflection problems for a Markov Modulated Brownian process and in
particular we show how to compute the Laplace transform of the
stationary distribution of the reflected process.

These problems find many applications in queueing theory and mathematical finance.

References

B. D’Auria, J. Ivanovs, O. Kella and M. Mandjes (2009): First passage
process of a Markov Additive Process, with applications to
reflectionproblems. Submitted.

J. Harrison (1985): Brownian Motion and Stochastic Flow Systems.
Wiley, New York.

O. Kella and W. Stadje (2004): A Brownian motion with two reflecting
barriers and Markov-modulated speed . J. Appl. Probab. 41:1237–1242.

Los esperamos.

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Para ver el calendario del SEMEA
http://www.google.com/calendar/embed?src=987brtcpho5tt3ch2ud0oobkds%40group.calendar.google.com&ctz=America/Argentina/Buenos_Aires

Para mas información sobre el seminario
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