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Approximations for Time-Dependent Distributions in Markovian Fluid Models

Author

Listed:
  • Sarah Dendievel

    (Université Libre de Bruxelles)

  • Guy Latouche

    (Université Libre de Bruxelles)

Abstract

In this paper we analyse Markov-modulated fluid processes over finite time intervals. We study the joint distribution of the level at time θ

Suggested Citation

  • Sarah Dendievel & Guy Latouche, 2017. "Approximations for Time-Dependent Distributions in Markovian Fluid Models," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 285-309, March.
    • Handle: RePEc:spr:metcap:v:19:y:2017:i:1:d:10.1007_s11009-016-9480-0
    DOI: 10.1007/s11009-016-9480-0
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    References listed on IDEAS

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    1. Asmussen, Soren & Avram, Florin & Usabel, Miguel, 2002. "Erlangian Approximations for Finite-Horizon Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 32(2), pages 267-281, November.
    2. Nigel G. Bean & Małgorzata M. O’Reilly & Peter G. Taylor, 2008. "Algorithms for the Laplace–Stieltjes Transforms of First Return Times for Stochastic Fluid Flows," Methodology and Computing in Applied Probability, Springer, vol. 10(3), pages 381-408, September.
    3. V. Ramaswami & Douglas Woolford & David Stanford, 2008. "The erlangization method for Markovian fluid flows," Annals of Operations Research, Springer, vol. 160(1), pages 215-225, April.
    4. Hans Gerber & Elias Shiu, 2003. "Pricing Lookback Options and Dynamic Guarantees," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(1), pages 48-66.
    5. Stanford, D.A. & Avram, F. & Badescu, A.L. & Breuer, L. & Silva Soares, A. Da & Latouche, G., 2005. "Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models," ASTIN Bulletin, Cambridge University Press, vol. 35(1), pages 131-144, May.
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