Markov-modulated Brownian motion : the matrix-analytic perspective /

This book explores regime-switching Brownian motion, a class of stochastic processes widely used in fields such as mathematical finance, risk theory, queueing theory, and epidemiological modeling. These processes are studied within the Markovian regime-switching framework, which captures dynamic env...

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Bibliographic Details
Main Author:	Latouche, G. (Guy) (Author)
Format:	eBook
Language:	English
Published:	Cham : Springer, [2026]
Series:	Springer series in operations research,
Subjects:	Brownian motion processes. Markov processes. Processus de mouvement brownien. Processus de Markov.

Table of Contents:

Preliminaries
First passage across a level
Exit from an interval
Expected local time
Regulated processes
Algorithms.