Wiener-Hopf factorizations for a multidimensional Markov additive process and their applications to reflected processes
We extend the framework of Neuts' matrix analytic approach to a reflected process generated by a discrete time multidimensional Markov additive process. This Markov additive process has a general background state space and a real vector valued additive component, and generates a multidimensiona...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2012-01-01
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| Series: | Stochastic Systems |
| Subjects: | |
| Online Access: | http://www.i-journals.org/ssy/viewarticle.php?id=69&layout=abstract |