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논문 기본 정보

자료유형
학술저널
저자정보
Sung-Chul Hong (University of Seoul) Soohan Ahn (University of Seoul)
저널정보
한국통계학회 CSAM(Communications for Statistical Applications and Methods) CSAM(Communications for Statistical Applications and Methods) 제28권 제5호
발행연도
2021.9
수록면
477 - 491 (15page)

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초록· 키워드

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The Markov modulated Brownian motion is a substantial generalization of the classical Brownian Motion. On the other hand, the Markovian arrival process (MAP) is a point process whose family is dense for any stochastic point process and is used to approximate complex stochastic counting processes. In this paper, we consider a superposition of the Markov modulated Brownian motion (MMBM) and the Markovian arrival process of jumps which are distributed as the bilateral ph-type distribution, the class of which is also dense in the space of distribution functions defined on the whole real line. In the model, we assume that the inter-arrival times of the MAP depend on the underlying Markov process of the MMBM. One of the subjects of this paper is introducing how to obtain the first passage probabilities of the superposed process using a stochastic doubling algorithm designed for getting the minimal solution of a nonsymmetric algebraic Riccatti equation. The other is to provide eigenvalue and eigenvector results on the superposed process to make it possible to apply the GTH-like algorithm, which improves the accuracy of the doubling algorithm.

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Abstract
1. Introduction
2. Description of the G-MMBM and related NARE
3. Representation of the superposed process as a G-MMBM
4. The structure-preserving doubling algorithm and GTH-like algorithm
5. Numerical study
6. Concluding remarks
References

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