34 citations · 56 across the 7 of their papers we have counts for
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math.PR2014★ 34 cited
Markov-modulated Ornstein-Uhlenbeck processes
Gang Huang, Marijn Jansen, Michel Mandjes +2
In this paper we consider an Ornstein-Uhlenbeck (OU) process whose parameters are determined by an external Markov process on a fini…
math.PR2014★ 1 cited
On the upper bound in Varadhan's Lemma
H. M. Jansen, M. R. H. Mandjes, K. De Turck +1
In this paper, we generalize the upper bound in Varadhan's Lemma. The standard formulation of Varadhan's Lemma contains two important elements, namely an upper semicontinuous integ…
math.PR2014★ 19 cited
Analysis of Markov-modulated infinite-server queues in the central-limit regime
Joke Blom, Koen De Turck, Michel Mandjes
This paper focuses on an infinite-server queue modulated by an independently evolving finite-state Markovian background process, with transition rate matrix $Q\equiv(q_{ij})_{i,j=1…