34 citations · 39 across the 8 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…