Abstract
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 Lévy processes. This martingale is then applied to various storage processes, queues and Brownian motion models.
| Original language | English |
|---|---|
| Pages (from-to) | 376-393 |
| Number of pages | 18 |
| Journal | Advances in Applied Probability |
| Volume | 32 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1 Jan 2000 |
Keywords
- EOQ model
- Fluid queues
- Lévy process
- Markov modulation
- Multivariate martingale
- Reflected Brownian motion
- Storage process